//otcformat禁止千分位分组
window.otcformat.options.disableGrouping = true;
//去掉MyJs.js中的数组扩展,防止某些js类库出错
delete Array.prototype.contains;
delete Array.prototype.remove;
//pageVue来自PricingModel对象序列化
//pageVue.TradeEdit属性来自TradeEditViewModel
//pageVue额外定义的参数:getVolType()
pageVue.DaysInYear = 365;
//定价格式化(来自配置)
const pricingFormat = otcformat.trading;
//数字格式化
const consNumberFormat = Object.freeze(new function () {
this.fixed2 = main.numberFormat(2);
this.fixed3 = main.numberFormat(3);
this.fixed4 = main.numberFormat(4);
this.fixed5 = main.numberFormat(5);
this.fixed6 = main.numberFormat(6);
this.percent = main.numberFormat({ percent: true });
this.umpriceP = main.numberFormat(pricingFormat.umpriceP.precision + 2);
this.volValueFmt = pageVue.VolMoreAccurate ? this.fixed6 : this.fixed4;
this.ttmDaysFmt = pageVue.PrecisionOfMinuteInQuote ? this.fixed5 : this.fixed4;
return this;
}());
//基本输入格式
const inputFormatInteger = Object.freeze({ precision: 0, append: '' });
const inputFormatDouble2 = Object.freeze({ precision: 2, append: '' });
const inputFormatPercent = Object.freeze({ precision: 2, append: '%' });
const inputFormatPercentN = Object.freeze({ precision: 2, append: '%', negative: true });
const inputFormatPercent4 = Object.freeze({ precision: 4, append: '%' });
//权利金输入格式
const inputFormatPremiumRate = Object.freeze({ precision: pricingFormat.premiumRateP.precision, negative: true, append: '%' });
const inputFormatSinglePrice = Object.freeze({ precision: pricingFormat.tradeSinglePrice.precision, negative: true, append: '' });
const inputFormatTradePrice = Object.freeze({ precision: 2, negative: true, append: '' });
//波动率输入格式
const inputFormatVolPercent = Object.freeze({ precision: pageVue.VolMoreAccurate ? 4 : 2, append: '%' });
//名义本金输入格式
const inputFormatEqvNotional = Object.freeze({ precision: pricingFormat.StockEqvNotional.precision, append: '' });
//预付金率输入格式
const inputFormatMarginRate = Object.freeze({ precision: pricingFormat.marginRateP.precision, append: '%' });
//期初价格
const inputFormatSpot = Object.freeze({ precision: pricingFormat.umprice.precision, append: '' });
//交易方向
const consBuysellTypes = Object.freeze(pageVue.Company === "润和"
? [{ value: '卖出', text: '客户买入' }, { value: '买入', text: '客户卖出' }]
: [{ value: '卖出', text: pageVue.CompanyName + '卖出' }, { value: '买入', text: pageVue.CompanyName + '买入' }]);
//观察方式
const consMonitorTypes = Object.freeze([{ value: '离散', text: '离散' }, { value: '连续', text: '连续' }]);
//补偿支付
const consRebateTypes = Object.freeze([{ value: 'AtHit', text: '立即' }, { value: 'AtEnd', text: '递延' }]);
//亚式均价计算
const consAsiaPayoffType = Object.freeze([{ value: 'ArithmeticAverage', text: '算术平均' }, { value: 'GeometricAverage', text: '几何平均' },
{ value: 'DiscreteArithmeticAverage', text: '算术平均(离散)' }, { value: 'EnhancedArithmeticAverage', text: '增强算术平均' }]);
//是否选项
const consFalseAsYes = Object.freeze([{ value: false, text: '是' }, { value: true, text: '否' }]);
const consTrueAsYes = Object.freeze([{ value: true, text: '是' }, { value: false, text: '否' }]);
const consFalseAsNo = Object.freeze([{ value: false, text: '否' }, { value: true, text: '是' }]);
const consIsDiscreteMonitored = Object.freeze([{ value: true, text: '离散' }, { value: false, text: '连续' }]);
//敲出支付方式
const consKORebateTypes = Object.freeze([{ value: '0', text: '立即支付' }, { value: '1', text: '递延至期末支付' }]);
//票息结算方式
const consCouponPayTypes = Object.freeze([{ value: '0', text: '产生时支付' }, { value: '1', text: '敲出时支付' }, { value: '2', text: '期末支付' }]);
//障碍类型
const consBarrierTypes = Object.freeze(_.map(['上升敲入', '上升敲出', '下降敲入', '下降敲出', '双障碍敲入', '双障碍敲出'], x => new Object({ text: x, value: x })));
//二元类型
const consBinaryPayoffTypes = Object.freeze({
European: _.map(['CashOrNothing', 'AssetOrNothing'], x => new Object({ text: x, value: x })),
American: _.map(['UpOneTouch', 'DownOneTouch', 'UpNoTouch', 'DownNoTouch', 'DoubleOneTouch', 'DoubleNoTouch'], x => new Object({ text: x, value: x }))
});
const consRateType = Object.freeze([{ value: '0', text: '年化利率' }, { value: '1', text: '实际利率' }]);
const consDepositType = Object.freeze([{ value: '0', text: '资金收益' }, { value: '1', text: '成本摊还' }]);
const consRiskExposureType = Object.freeze([{ value: '0', text: '参与计算' }, { value: '1', text: '忽略' }]);
//定价模型
const consEngineNames = Object.freeze({
Default: _.map(['解析解(默认)', '蒙特卡洛'], x => new Object({ text: x, value: x })),
American: _.map(['解析解(默认)', '二叉树'], x => new Object({ text: x, value: x })),
Autocall: _.map(['积分法(默认)', '蒙特卡洛'], x => new Object({ text: x, value: x }))
});
//统计数据重置flags
const resetSummaryFlags = Object.freeze({ all: 0, notional: 1, ten: 10, initialMargin: 11 });
function setTradeAmount(self) {
var TradeAmountV = self.trade.AccumuTradeAmount;
var dayCount = 0;
if (self.trade.KOObservationDates) {
dayCount = self.trade.KOObservationDates.split(";")[0].split(',').length;
} else {
var data = {
alignEnd: "true",
calcMode: "01",
endDate: this.trade.ExerciseDate,
holidayAdjustment: "Following",
startDate: this.trade.TradeDate,
termStr: "1D",
}//获取区间观察日数量;
main.post("/trade/GetObservationDateList", data, { async: false }).done(
function (res) {
dayCount = res.obj.length;
}
);
}
TradeAmountV *= dayCount;
self.trade.TradeAmountV = TradeAmountV;
}
//帮助类(只对trade对象进行处理)
const tradeUtils = (function () {
//IsMoneynessOption影响的字段映射
const consMoneynessFieldMap = Object.freeze({
BarrierLow: 'BarrierLow', BarrierHigh: 'BarrierHigh',
StrikeHigh: 'StrikeHigh', HighStrike: 'HighStrike',
KOBarrier: 'KOBarrier', KIBarrier: 'KIBarrier',
CouponBarrier: 'CouponBarrier',
SpreadStrike: 'SpreadStrike', SpreadStrike1: 'SpreadStrike1',
SpreadStrikeAtKO: 'SpreadStrikeAtKO', SpreadStrikeAtKO1: 'SpreadStrikeAtKO1',
UpperRange: 'UpperRange', LowerRange: 'LowerRange',
Strike1: 'Strike1', Strike2: 'Strike2', Strike3: 'Strike3'
});
//IsUsePremiumRate切换时绝对值与百分比的换算字段映射
const consUsePremiumRateFieldMap = Object.freeze({
Rebate: 'RebateRate', RebateHigh: 'RebateHighRate',
CashOrNothingAmount: 'CashOrNothingAmountRate',
CashOrNothingAmountHigh: 'CashOrNothingAmountHighRate'
});
//现金流交易字段(涉及很多基本要素)
const consCashFlowFields = Object.freeze(['MarginTemplateName', 'OptionType', 'SpotPrice', 'Strike', 'UnderlyingCode'
, 'UnderlyingId', 'UnderlyingInstrumentType', 'PremiumRate', 'TradeAmount', 'TradeOpenVolatility', 'ExerciseMode'
, 'MaturityDate']);
//生成波动率类型转换函数
//波动率类型为‘交易’时，根据买入方向选择交易bid（买入）或者交易Ask（卖出）的波动率曲面计算；
function _volTypeConvert(voltype, buysell) {
return voltype !== "交易" ? voltype
: buysell === "卖出" ? "报价Ask" : buysell === '买入' ? '报价Bid' : voltype;
}
//获取交易波动率
function _getTradeVol(trade, extOptions, varietyId) {
if (trade.TradeType === "现金流交易") {
return 0;
}
var result = { obj: NaN };
var VolType = _volTypeConvert(pageVue.getVolType(), trade.BuySell);
var postData = _.extend({
VolType: VolType,
Strike: trade.Strike,
SpotPrice: trade.SpotPrice,
TradeDate: trade.ValueDate || trade.TradeDate,
ExerciseDate: trade.ExerciseDate,
IsMoneynessOption: trade.IsMoneynessOption,
CallPut: trade.OptionType === "看涨" ? "Call" : "Put",
UnderlyingId: trade.UnderlyingId,
UnderlyingCode: trade.UnderlyingCode,
UnderlyingName: trade.UnderlyingName,
UnderlyingTypeId: varietyId,
BaseVol: null,
BidVar: null,
AskVar: null
}, extOptions);
if (!postData.TradeDate || !postData.ExerciseDate) {
var msg = [];
!postData.TradeDate && msg.push('缺少交易日期');
!postData.ExerciseDate && msg.push('缺少到期日期');
return $.Deferred(function () {
var self = this;
setTimeout(function () {
self.resolve({ success: true, obj: '', msg: msg.join(',') });
}, 100);
}).promise();
}
return main.post("/pricing/AjaxGetVol", postData, { waitMe: false, alertFn: pageVue.SkewMapVol ? main.message : null });
}
function _isNaN(val) {
return isNaN(parseFloat(val));
}
function checkDate(value) {
let date = new Date(value);
return date.valueOf();
}
//检查交易数据是否可以用于计算或保存
function _checkTrade(trade, usedForSave, isShowActualExerciseDate) {
var errorList = [];
if (trade.TradeType === "现金流交易") {
if (usedForSave && pageVue.TradeEdit) {
if (!trade.AssetId) {
errorList.push("簿记账户 必须填写");
}
if (!trade.TraderId) {
errorList.push("交易员 必须填写");
}
if (!trade.ClientId) {
errorList.push("客户名称 必须填写");
}
}
if (!trade.ExerciseDate) {
errorList.push("期权到期日 必须填写");
} else if (trade.ExerciseDate < trade.TradeDate) {
errorList.push("期权到期日 不能小于交易日期");
}
if (trade.SettlementDate && trade.SettlementDate < trade.ExerciseDate) {
errorList.push("期权结算日 不能小于到期日");
}
if (isShowActualExerciseDate && pageData.showZheQi) {
if (!trade.MetaDic['ActualExerciseDate']) {
errorList.push("实际到期日期 必须填写");
}
if (trade.MetaDic['ActualExerciseDate'] > trade.MaturityDate) {
errorList.push("实际到期日期到期日必需在标的到期日之前");
}
if (trade.TradeDate > trade.MetaDic['ActualExerciseDate']) {
errorList.push("交易日应该在实际到期日期之前");
}
}
trade.ExerciseMode = "";
} else {
if (!trade.UnderlyingId || trade.UnderlyingId === '0') {
errorList.push("标的信息 必须填写");
}
if (usedForSave && pageVue.TradeEdit) {
if (!trade.AssetId) {
errorList.push("簿记账户 必须填写");
}
if (!trade.TraderId) {
errorList.push("交易员 必须填写");
}
if (!trade.ClientId) {
errorList.push("客户名称 必须填写");
}
}
if (!trade.ExerciseDate) {
errorList.push("期权到期日 必须填写");
} else if (trade.ExerciseDate < trade.TradeDate) {
errorList.push("期权到期日 不能小于交易日期");
}
if (trade.SettlementDate && trade.SettlementDate < trade.ExerciseDate) {
errorList.push("期权结算日 不能小于到期日");
}
if (isShowActualExerciseDate && pageData.showZheQi) {
if (!trade.MetaDic['ActualExerciseDate']) {
errorList.push("实际到期日期 必须填写");
}
if (trade.MetaDic['ActualExerciseDate'] > trade.MaturityDate) {
errorList.push("实际到期日期到期日必需在标的到期日之前");
}
if (trade.TradeDate > trade.MetaDic['ActualExerciseDate']) {
errorList.push("交易日应该在实际到期日期之前");
}
}
if (trade.TradeType !== '自定义交易') {
if (pageVue.IsTradeVol) {
if (!_.trim(trade.TradeOpenVolatility)) {
errorList.push("成交波动率 必须填写");
}
if (usedForSave && !_.trim(trade.TradeCloseVolatility)) {
errorList.push("目标波动率 必须填写");
}
if (!_.trim(trade.NumOfSmoothingDays)) {
if (usedForSave && (pageVue.IsGuoJun || pageVue.SkewMapVol)) {
errorList.push("平滑过渡天数 必须填写");
} else {
trade.NumOfSmoothingDays = 1;
}
} else if (!/^\d+$/.test(trade.NumOfSmoothingDays)) {
errorList.push("平滑过渡天数 只能为整数");
}
}
}
if (trade.UnderlyingInstrumentType === "Stock" || trade.UnderlyingInstrumentType === "StockIndex") {
if (!trade.Notional) {
errorList.push("成交份额 必须填写");
} else if (trade.Notional < 0) {
errorList.push("成交份额 不能小于0");
}
if (!trade.StockEqvNotional) {
errorList.push("名义本金 必须填写");
}
if (!_.trim(trade.DividendRate)) {
errorList.push("分红率 必须填写");
}
}
else {
if (!trade.TradeAmount) {
errorList.push("交易数量 必须填写");
} else if (trade.TradeAmount < 0) {
errorList.push("交易数量 不能小于0");
}
}
//执行价格可以随意输入
if (!trade.Strike) {
trade.Strike = 0;
}
//if (usedForSave && trade.TradeSinglePrice < 0) {
// errorList.push("权利金 不能小于0");
//}
if (!pageVue.TradeEdit && 0 === (parseFloat(trade.TTMDays) || 0)) {
errorList.push("TTMDays 不能为0");
}
switch (trade.TradeType) {
case "障碍期权": {
if (_isNaN(trade.BarrierLow)) {
errorList.push("障碍价格 必须填写");
}
if (!trade.BarrierType) {
errorList.push("障碍类型 必须填写");
} else if (trade.BarrierType.startsWith("双") && _isNaN(trade.BarrierHigh)) {
errorList.push("高障碍价格 必须填写");
}
break;
}
case "双鲨期权": {
if (_isNaN(trade.BarrierLow)) {
errorList.push("障碍价格 必须填写");
}
if (_isNaN(trade.BarrierHigh)) {
errorList.push("高障碍价格 必须填写");
}
break;
}
case "气囊结构": {
if (_isNaN(trade.BarrierLow)) {
errorList.push("障碍价格 必须填写");
}
break;
}
case "二元期权": {
if (trade.PayoffType !== "AssetOrNothing" && _isNaN(trade.IsUsePremiumRate ? trade.CashOrNothingAmountRate : trade.CashOrNothingAmount)) {
errorList.push("补偿金额 必须填写");
}
break;
}
case "雪球期权": {
_isNaN(trade.KOBarrier) && errorList.push("敲出障碍价格 必须填写");
if (trade.PrepaymentUsed) {
_isNaN(trade.KIBarrier) && !trade.IsInitialKnockedIn && errorList.push("敲入障碍价格 必须填写");
_isNaN(trade.SpreadStrike1) && errorList.push("敲入执行价格 必须填写");
!_.trim(trade.KOObservationDates, " ;,") && errorList.push("敲出观察频率 必须填写");
}
else if (trade.KOPayoffType > 0) { //KOPayoffType可能为string类型
_isNaN(trade.SpreadStrikeAtKO1) && errorList.push("敲出行权价1 必须填写");
trade.KOPayoffType > 1 && _isNaN(trade.SpreadStrikeAtKO) && errorList.push("敲出行权价2 必须填写");
}
break;
}
case "凤凰期权": {
_isNaN(trade.KOBarrier) && errorList.push("敲出障碍价格 必须填写");
_isNaN(trade.KIBarrier) && errorList.push("敲入障碍价格 必须填写");
break;
}
case "亚式期权": {
if (trade.StrikeType === 'Segmented' && trade.PayoffType !== 'EnhancedArithmeticAverage') {
errorList.push("行权价类型为'分段式'时,均价计算类型必须为'增强算术平均'");
}
if (trade.PayoffType === 'EnhancedArithmeticAverage' && trade.StrikeType === 'Floating') {
errorList.push("均价计算类型为'增强算术平均'时,行权价类型不能为'浮动行权价'");
}
if (trade.PayoffType === 'EnhancedArithmeticAverage' && trade.StrikeType != 'Floating' && !_isNaN(trade.EnhancedPrice) && trade.EnhancedPrice == 0) {
errorList.push("均价计算类型为'增强算术平均'且行权价类型不为'浮动行权价'时,增强价格必须填写");
}
break;
}
case "累计期权": {
if (trade.AccumulatorStructureType == "1") {
if (trade.PayoffType === "固定") {
_isNaN(trade.Coupon) && errorList.push("票息1 必须填写");
_isNaN(trade.Coupon2) && errorList.push("票息2 必须填写");
}
_isNaN(trade.Strike) && errorList.push("执行价格 必须填写");
_isNaN(trade.Strike2) && errorList.push("执行价格2 必须填写");
_isNaN(trade.Strike3) && errorList.push("执行价格3 必须填写");
_isNaN(trade.KOBarrier) && errorList.push("障碍价格 必须填写");
if (parseFloat(trade.Strike2) < trade.Strike) {
errorList.push("执行价格2需要大于等于执行价格1");
}
if (parseFloat(trade.Strike3) < parseFloat(trade.Strike2)) {
errorList.push("执行价格3需要大于等于执行价格2");
}
if (trade.OptionType == "看涨") {
if (trade.Strike2 >= trade.KOBarrier || trade.Strike3 < trade.KOBarrier) {
errorList.push("障碍价格需要大于执行价2小于等于执行价3");
}
} else {
if (trade.Strike > trade.KOBarrier || trade.Strike2 <= trade.KOBarrier) {
errorList.push("障碍价格需要大于等于执行价1小于执行价2");
}
}
} else {
if (trade.PayoffType === "固定") {
_isNaN(trade.Coupon) && errorList.push("票息 必须填写");
}
}
break;
}
case "Risky期权": {
if (_isNaN(trade.Strike1)) {
errorList.push("执行价格1 必须填写");
}
if (_isNaN(trade.Strike2)) {
errorList.push("执行价格2 必须填写");
}
if (_isNaN(trade.Strike3)) {
errorList.push("执行价格3 必须填写");
}
if (_isNaN(trade.ParticipationRate1)) {
errorList.push("参与率1 必须填写");
}
if (_isNaN(trade.ParticipationRate2)) {
errorList.push("参与率2 必须填写");
}
if (_isNaN(trade.ParticipationRate3)) {
errorList.push("参与率3 必须填写");
}
if (trade.Strike1 > trade.Strike2) {
errorList.push("执行价格1 必须小于等于执行价格2");
}
if (trade.Strike2 > trade.Strike3) {
errorList.push("执行价格2 必须小于等于执行价格3");
}
break;
}
}
}
return errorList;
}
//IsMoneynessOption切换处理,配置:consMoneynessFieldMap
function _moneynessSwitch(trade) {
let spotPrice = parseFloat(trade.SpotPrice) || 0;
let isSpotZero = Math.abs(spotPrice) < 1e-4;
let fmt = trade.IsMoneynessOption === "是" ? consNumberFormat.umpriceP : pricingFormat.umprice;
if (trade.IsMoneynessOption === "是") {
trade.Strike = isSpotZero || !_.trim(trade.Strike) ? 1 : fmt(trade.Strike / spotPrice);
trade.EnhancedPrice = isSpotZero ? 1 : fmt(trade.EnhancedPrice / spotPrice);
_.each(consMoneynessFieldMap, (perKey, absKey) => {
var absValue = parseFloat(trade[absKey]);
if (isSpotZero || !absValue) {
trade[absKey] = '', trade[perKey] = '';
} else {
trade[perKey] = fmt(absValue / spotPrice);
}
});
} else {
//避免受到onChangeInstrumentType影响
trade.Strike = fmt(trade.Strike * spotPrice);
trade.EnhancedPrice = fmt(trade.EnhancedPrice * spotPrice);
_.each(consMoneynessFieldMap, (perKey, absKey) => {
var perVal = parseFloat(trade[perKey]);
if (isSpotZero || !perVal) {
trade[absKey] = '', trade[perKey] = '';
} else {
trade[absKey] = fmt(perVal * spotPrice);
}
});
}
}
//IsUsePremiumRate切换处理,配置:consUsePremiumRateFieldMap
function _usePremiumRateSwitch(trade) {
let spotPrice = Math.abs(parseFloat(trade.SpotPrice)) || 0;
let isSpotZero = spotPrice < 1e-4;
let fmt = trade.IsUsePremiumRate ? pricingFormat.premiumRate : pricingFormat.tradeSinglePrice;
if (trade.IsUsePremiumRate) {
trade.PremiumRate = isSpotZero ? '' : fmt(trade.TradeSinglePrice / spotPrice);
_.each(consUsePremiumRateFieldMap, (perKey, absKey) => {
var absValue = parseFloat(trade[absKey]);
if (isSpotZero || !absValue) {
trade[absKey] = '', trade[perKey] = '';
} else {
trade[perKey] = fmt(absValue / spotPrice);
}
});
} else {
trade.TradeSinglePrice = fmt(spotPrice * trade.PremiumRate);
_.each(consUsePremiumRateFieldMap, (perKey, absKey) => {
var perVal = parseFloat(trade[perKey]);
if (isSpotZero || !perVal) {
trade[absKey] = '', trade[perKey] = '';
} else {
trade[absKey] = fmt(perVal * spotPrice);
}
});
}
}
//计算或保存时需要根据IsMoneynessOption转换隐含字段
//转换处理和moneynessSwitch正好反过来(如果字段不同,相同时不做转换)
function _transforCalcOrSave(trade) {
let spotPrice = Math.abs(parseFloat(trade.SpotPrice)) || 0;
let isSpotZero = spotPrice < 1e-4;
let IsMoneynessOption = trade.IsMoneynessOption === "是";
let fmt = IsMoneynessOption ? pricingFormat.umprice : consNumberFormat.umpriceP;
_.each(consMoneynessFieldMap, (perKey, absKey) => {
if (absKey !== perKey) {
if (IsMoneynessOption) {
//从百分比转换绝对值
var perVal = trade[perKey];
if (isSpotZero || !perVal) {
trade[absKey] = '';
} else {
trade[absKey] = fmt(perVal * spotPrice);
}
} else {
//从绝对值转换百分比
var absValue = parseFloat(trade[absKey]);
if (isSpotZero || !absValue) {
/*trade[absKey] = '', */trade[perKey] = '';
} else {
trade[perKey] = fmt(absValue / spotPrice);
}
}
}
});
fmt = trade.IsUsePremiumRate ? pricingFormat.tradeSinglePrice : pricingFormat.premiumRate;
_.each(consUsePremiumRateFieldMap, (perKey, absKey) => {
if (absKey !== perKey) {
if (trade.IsUsePremiumRate) {
//从百分比转换绝对值
var perVal = trade[perKey];
if (isSpotZero || !perVal) {
trade[absKey] = '';
} else {
trade[absKey] = fmt(perVal * spotPrice);
}
} else {
//从绝对值转换百分比
var absValue = parseFloat(trade[absKey]);
if (isSpotZero || !absValue) {
/*trade[absKey] = '', */trade[perKey] = '';
} else {
trade[perKey] = fmt(absValue / spotPrice);
}
}
}
});
}
//为计算和保存准备交易数据
function _prepareTrades(trades, volType, usedForSave, isReject, isShowActualExerciseDate) {
if (!Array.isArray(trades)) {
throw '请确保参数有效:trades';
}
//复制后检查交易数据
var checkResults = [], clones = [];
trades.forEach(trade => {
var clone = _.clone(trade);
_transforCalcOrSave(clone);
!('NoRiskRate' in clone) && (clone.NoRiskRate = 0);
//skew模式下不传voltype则根据var处理
clone.VolType = pageVue.SkewMapVol ? '' : _volTypeConvert(volType, clone.buysell);
clone.StartDate = clone.TradeDate;
clones.push(clone);
var errors = _checkTrade(clone, usedForSave, isShowActualExerciseDate);
if (errors.length) {
checkResults.push({ index: clone.CalcId, errors: errors });
} else if (clone.TradeType === "障碍期权") {
clone.BarrierHigh && !clone.BarrierType.startsWith("双") && (clone.BarrierHigh = '');
clone.RebateHigh && !clone.BarrierType.startsWith("双障碍敲出") && (clone.RebateHigh = '');
clone.RebateHighRate && !clone.BarrierType.startsWith("双障碍敲出") && (clone.RebateHighRate = '');
} else if (clone.TradeType === "亚式期权") {
clone.Strike && clone.StrikeType === "Floating" && (clone.Strike = '');
} else if (clone.TradeType === "累计期权") {
if (pageData.ShowMultiplier) {
let strikeGearingFactor = parseFloat(clone.StrikeGearingFactor);
Number.isNaN(strikeGearingFactor) && (strikeGearingFactor = 1);
if (clone.OptionType === '看涨') {
clone.CallMultiplier = 1;
clone.PutMultiplier = strikeGearingFactor;
} else {
clone.PutMultiplier = 1;
clone.CallMultiplier = strikeGearingFactor;
}
}
} else if (clone.TradeType === "雪球期权") {
if (clone.IsInitialKnockedIn) {
clone.KnockInOutStatus = "KnockedIn";
clone.KnockInOutDate = clone.TradeDate;
}
else {
clone.KnockInOutStatus = null;
clone.KnockInOutDate = null;
}
}
if (pageData.showCCR) {
clone.MetaDic["ccr_k"] = clone.ccr_k || "1";
clone.MetaDic["ignoreRiskExposure"] = clone.ignoreRiskExposure || "0";
}
});
checkResults.length = isReject ? 0 : checkResults.length;
//显示检查错误
if (checkResults.length) {
let isTradeEdit = usedForSave
var htmlResults = checkResults.map(x => {
if (pageVue.TradeEdit) {
return x.errors.map(x => '| ' + x + ' |
');
}
var errmsg = x.errors.join('
');
return `| ${x.index} | ${errmsg} |
|---|
`;
});
$('#checkErrorTable').find('tbody').html(htmlResults.join());
$('#checkErrorModal').modal('show');
return false;
}
return clones;
}
//更改交易的资产类型时的处理
function onChangeInstrumentType(trade) {
_.each(consMoneynessFieldMap, (perKey, absKey) => {
trade[absKey] = '', trade[perKey] = '';
});
_.each(consUsePremiumRateFieldMap, (perKey, absKey) => {
trade[absKey] = '', trade[perKey] = '';
});
}
function _getEngineNames(trade) {
if (trade.TradeType === '凤凰期权' || trade.TradeType === '雪球期权') {
return consEngineNames.Autocall;
} else if (trade.TradeType === '香草期权' && trade.ExerciseMode === 'American') {
return consEngineNames.American;
}
else {
return consEngineNames.Default;
}
}
//变更预付金模板
function changeMarginTemplate(trade, tradeMarginTemplates) {
if (trade.MarginTemplateName === "系统默认") {
trade.MarginType = 0;
trade.MarginRate = 0;
trade.PositionMarginRate = 0;
}
else if (trade.MarginTemplateName === "无预付金") {
trade.MarginType = 1;
trade.MarginRate = 0;
trade.PositionMarginRate = 0;
}
else {
tradeMarginTemplates.forEach(x => {
if (trade.MarginTemplateName === x.Name) {
trade.MarginType = x.MarginType;
trade.MarginRate = x.InitialMarginRatio;
if (trade.MarginType == 3) {
trade.PositionMarginRate = 0;
}
else {
trade.PositionMarginRate = x.PositionMarginRatio;
}
}
});
}
}
//变更亚式期权定价模型
function changeEngineName(trade) {
if (trade.TradeType == "亚式期权" && trade.StrikeType != "Floating" && trade.PayoffType == 'EnhancedArithmeticAverage') {
if (trade.Strike != trade.EnhancedPrice) {
trade.EngineName = "";
return true;
}
}
return false;
}
return {
getTradeVol: _getTradeVol,
checkTrade: _checkTrade,
prepareTrades: _prepareTrades,
moneynessSwitch: _moneynessSwitch,
usePremiumRateSwitch: _usePremiumRateSwitch,
onChangeInstrumentType: onChangeInstrumentType,
getEngineNames: _getEngineNames,
normalizeTrade(trade) {
_.each(trade, (val, key) => {
//标准化trade日期数据
typeof val === 'string' && key.endsWith('Date') && (trade[key] = val.substr(0, 10));
});
},
resetCashFlow(trade) {
trade.IsUsePremiumRate = true;
for (var f of consCashFlowFields) {
trade[f] = '';
}
trade.RateType || (trade.RateType = 0);
trade.DepositType || (trade.DepositType = 0);
},
resetRisky(trade) {
trade.OptionType = "看涨"
},
changeMarginTemplate: changeMarginTemplate,
changeEngineName: changeEngineName
};
}());
//交易字段管理
const tradeFieldMgr = (new function () {
pageVue.Trade.EncryptId = '';
tradeUtils.normalizeTrade(pageVue.Trade);
//默认数据(初次添加定价时使用)
const DefaultData = {
trade: pageVue.Trade,
viewState: {
variety: tradeHelper.getEmptyVariety(),
underlying: tradeHelper.getEmptyUnderlying(),
MaturityDate: null,
VolState: 'system',
VolLockState: 'system',
CloseVolState: 'system',
SpotPrice: 'system',
TTMDays: 'system',
InitialMargin: 'system',
TradeOpenVolatility: 'system',
NoRiskRate: 'system',
DividendRate: 'system',
TwoSideMargin: false,
Observation: {
hasValue: false,
ObservationDates: '',
ObservationNum: 1, ObservationUnit: 'D',
ObservationHolidayType: 'Following', ObservationAlignEnd: true
},
KOObservation: {
hasValue: false,
ObservationDates: '', KOObservationDates: '',
ObservationNum: 1, ObservationUnit: 'D', CouponDayInterval: 0,
ObservationHolidayType: 'Following', ObservationAlignEnd: true
},
KOObservationSettle: {
hasValue: false,
ObservationDates: '',
ObservationNum: 1, ObservationUnit: 'D',
ObservationHolidayType: 'Following', ObservationAlignEnd: true
},
synthetic: null,
initFlag: '',
AnnualizeFactor: { ttmDays: 0, daysInYear: pageVue.DaysInYear, refDays: 0 },
AnnualizeFactor2: { ttmDays: 0, daysInYear: pageVue.DaysInYear, refDays: 0 },
Extend: { TradingPlace: "柜台市场", ClearingAgency: "交易员方" },
TradeExtend: { Strike2: 0, Strike3: 0, Multiplier: 1, Multiplier2: 1, Multiplier3: 1 },
}
};
this.defaultData = DefaultData;
//期权基本要素字段(是否展示)
const BasicFields = {
ExerciseMode(trade) {
switch (trade.TradeType) {
default: return true;
case '凤凰期权': case '雪球期权': case '自定义交易': case '现金流交易': case '区间累积期权':
trade.ExerciseMode = "European"; return false;
case '二元期权': return trade.ExerciseMode === "European" ? 1 : 11;
}
},
OptionType(trade) {
switch (trade.TradeType) {
default: return true;
case '区间累积期权': case '自定义交易': case '双鲨期权':
case '气囊结构': case '收益增强结构': case '现金流交易': return false;
case '二元期权': return trade.ExerciseMode === 'European';
}
},
SettlementType(trade) {
return trade.TradeType !== '自定义交易';
},
DividendRate(trade) {
return (trade.UnderlyingInstrumentType === 'Stock' || trade.UnderlyingInstrumentType === 'StockIndex');
},
};
//期权奇异字段配置
const OptionFields = Object.freeze({
"障碍期权": {
BarrierOption: true, ObservationDates: '', ObservationDatesShow: '占位符',
BarrierType: "上升敲入", BarrierLow: '', BarrierHigh: '',
MonitorType: "离散", RebateType: "AtHit", Rebate: '', RebateRate: '', BarrierShift: '',
RebateHigh: '', RebateHighRate: '',
IsBarrierType: {
init: '', visible(trade) { return trade.BarrierType === "双障碍敲出"; }
},
//MonitorType替代了Discrete,BarrierLow替代了BarrierPrice,BarrierHigh替代了UpperBarrierPrice
},
"双鲨期权": {
DBSharkOption: true, ObservationDates: '', ObservationDatesShow: '占位符',
MonitorType: '离散', BarrierLow: '', BarrierHigh: '', StrikeHigh: '',
RebateType: 'AtHit', Rebate: '', RebateRate: '', RebateHigh: '', RebateHighRate: ''
//MonitorType替代了Discrete
},
"二元期权": {
BinaryOption: true, PayoffType: '', ObservationDates: '', ObservationDatesShow: '占位符',
BarrierHigh: '', MonitorType: "离散", RebateType: "AtHit",
CashOrNothingAmount: '', CashOrNothingAmountRate: '',
CashOrNothingAmountHigh: '', CashOrNothingAmountHighRate: '',
PayoffTypeShow: {
init: '', visible(trade) { return (trade.PayoffType || '').startsWith('Double'); }
}
//BarrierHigh替代了UpperBarrier
},
"亚式期权": {
AsiaOption: true,
PayoffType: 'ArithmeticAverage',
StrikeType: "Fixed", StrikeGearingFactor: 1,
AveragingPeriodStartDate: pageVue.SysDate,
SettleMode: "AtHit",
EnhancedPrice: 0,
},
"彩虹期权": {
RainbowOption: true
},
"合成价差期权": {
ComSpreadOption: true
},
"区间累积期权": {
RangeAcc: true, ObservationDatesShow: true,
ObservationDates: '', UpperRange: '', LowerRange: '', BonusRate: ''
},
"凤凰期权": {
AutoCall: true,
IsFixedCoupon: false, Coupon: '', CouponBarrier: '',
CouponPayType: 0, KOObservationDates: '', KOBarrier: '',
ObservationDates: '', KIBarrier: '', IncludeCouponAfterKI: true, KIPayoffType: 1,
SpreadStrike1: {
init: '', visible(trade) { return trade.KIPayoffType > 0; }
},
SpreadStrike: {
init: '', visible(trade) { return trade.KIPayoffType === 2 || trade.KIPayoffType === 4; }
},
beforeCheck(trade) {
return {
KIPayoffType: parseInt(trade.KIPayoffType) || 1
};
}
},
"雪球期权": {
SnowBall: true,
KOBarrier: '', KOObservationDates: '',
KOPayoffType: 0, KORebateType: 0, Coupon: '', CouponDayCount: "Act365",
PrepaymentUsed: false, PrepaymentRatio: '0', PrepaymentInterestRate: '0', PrepaymentConvertCashRate: '0',
CouponIncludeEndDate: true, EnhancedParticipationRate: '0',
KIParticipationRate: '1', PrincipalProtectionRate: '0', KIObservationType: 1,
showKnockinObservation: {
init: false, visible(trade) { return !trade.IsInitialKnockedIn; }
},
IsFixedCoupon: {
init: false, visible(trade) { return trade.KOPayoffType === 0; }
},
KORebate: {
init: '', visible(trade) { return trade.KOPayoffType === 0; }
},
AnnualizedPremiumRate: {
init: '', visible(trade) {
return trade.KOPayoffType === 0;
}
},
SpreadStrikeAtKO1: {
init: '', visible(trade) { return trade.KOPayoffType > 0; }
},
SpreadStrikeAtKO: {
init: '', visible(trade) { return trade.KOPayoffType > 1; }
},
KIBarrier: '', ObservationDates: '', KIPayoffType: 0,
//SpreadStrike替代了SpreadStrikeAtMaturity
SpreadStrike1: {
init: '', visible(trade) {
return trade.PrepaymentUsed || trade.KIPayoffType > 0 || trade.IsInitialKnockedIn;
}
},
SpreadStrike: {
init: '', visible(trade) {
return (trade.KIPayoffType === 2 || trade.KIPayoffType === 4);
}
},
PrepaymentUsing: {
init: false, visible: (trade) => !!trade.PrepaymentUsed
},
beforeCheck(trade) {
if (trade.PrepaymentUsed) {
trade.KOPayoffType = 0;
trade.KIPayoffType = 0;
trade.KORebateType = 0;
trade.AnnualizedPremiumRate = '';
}
return {
KOPayoffType: parseInt(trade.KOPayoffType) || 0,
KIPayoffType: parseInt(trade.KIPayoffType) || 0,
IsInitialKnockedIn: !!trade.IsInitialKnockedIn,
PrepaymentUsed: !!trade.PrepaymentUsed
};
}
},
"气囊结构": {
AirBag: true, BarrierLow: '', KIParticipationRate: '',
HasPayoffLimit: false, HighStrike: '', IsDiscreteMonitored: false
//BarrierLow替代了Barrier
},
"收益增强结构": {
UnEnhance: true, AnnualizedEnhanceRate: ''
},
"现金流交易": {
Cashflow: true, ProfitRate: '', RateType: "0", DepositType: "0", PrepayRatio: '0'
},
"自定义交易": { ObservationDatesShow: '占位符', Custom: true },
"累计期权": {
Accumulator: true, PayoffType: '浮动', AccumulatorStructureType: '0', IsFixedCoupon: true, CouponDayCount: 'Act365',
StrikeGearingFactor: 1, CallMultiplier: 1, PutMultiplier: 1, EarlyTerminate: false, SettlementMode: (ylotc.Company === '厦门象屿' ? '现金实物合并结算' : '现金当日'),
KOObservationDates: '', CouponPercent: true, CouponPercent2: true, AccumuType: '', AccumuTradeAmount: '',
ForwardPriceType: pageVue.ForwardPriceTypeCfg,
ForwardDateType: (ylotc.Company === '中粮' ? '标的到期日' : (ylotc.Company === '厦门象屿' ? '标的交割月前一交易日' : '期权到期日')),
SettlementMode2: (ylotc.Company === '厦门象屿' ? '现金实物合并结算' : '现金当日'),
ForwardPriceType2: pageVue.ForwardPriceTypeCfg,
ForwardDateType2: (ylotc.Company === '中粮' ? '标的到期日' : (ylotc.Company === '厦门象屿' ? '标的交割月前一交易日' : '期权到期日')),
SettlementMode3: (ylotc.Company === '厦门象屿' ? '现金实物合并结算' : '现金当日'),
ForwardPriceType3: pageVue.ForwardPriceTypeCfg,
ForwardDateType3: (ylotc.Company === '中粮' ? '标的到期日' : (ylotc.Company === '厦门象屿' ? '标的交割月前一交易日' : '期权到期日')),
ShowCouponOption: {
init: '', visible(trade) { return trade.PayoffType === '固定'; }
},
ShowSanDuanShi: {
init: '', visible(trade) { return _.trim(trade.AccumulatorStructureType) === '1'; }
}
},
"Risky期权": {
RiskyOption: true,
ParticipationRate1: 1, ParticipationRate2: 1, ParticipationRate3: "",
Strike1: '', Strike2: '', Strike3: '',
}
});
//期权字段状态
const OptionFieldState = _.reduce(OptionFields, (acc, cur) => {
return _.reduce(cur, (acc, val, key) => { acc[key] = false; return acc; }, acc);
}, {});
for (k of Object.keys(BasicFields)) {
OptionFieldState[k] = true;
}
//浮窗标题状态
const FloatingTitleState = Object.assign({}, OptionFieldState);
//获取标题状态
this.getTitleState = function (floating) {
return floating ? FloatingTitleState : OptionFieldState;
};
//重置字段状态
function __resetFieldState(trade, blreset) {
let self = this;
for ([k, v] of Object.entries(BasicFields)) {
self[k] = v(trade);
}
let fields = OptionFields[trade.TradeType];
if (!fields) return;
let chkobj = !blreset && fields.beforeCheck ? fields.beforeCheck(trade) || trade : trade;
_.each(fields, (val, key) => {
let blset = blreset && key in trade;
if (typeof val === 'object') {
self[key] = val.visible(chkobj);
if (blset || !self[key]) {
trade[key] = val.init;
}
} else {
self[key] = true;
blset && (trade[key] = val);
}
});
if (!blreset) return;
if (trade.TradeType === '二元期权') {
trade.PayoffType = trade.ExerciseMode === 'European' ? 'CashOrNothing' : 'UpOneTouch';
trade.RebateAnnualizedAtKO = trade.ExerciseMode !== 'European';
} else if (trade.TradeType === '现金流交易') {
trade.IsUsePremiumRate = true;
} else if (trade.TradeType === '累计期权') {
trade.IsAnnualized = false;
trade.ParticipationRate = '';
} else if (trade.TradeType === 'Risky期权') {
trade.ParticipationRate = '';
trade.OptionType = "看涨"
if (trade.IsMoneynessOption === '是') {
trade.Strike3 = 1;
} else {
trade.Strike3 = trade.SpotPrice;
}
}
}
const AnnualCallControl = [null, 0];
//获取字段状态
this.getFieldState = function (floating) {
let clone = Object.assign({}, OptionFieldState);
//重置字段状态
clone.resetFieldState = function (trade, blreset) {
__resetFieldState.call(this, trade, blreset);
if (floating) {
Object.assign(FloatingTitleState, this);
}
};
//交易类型变更时重置交易字段值和状态
clone.onTradeTypeChanged = function (trade, blReset, vueCaller) {
let self = this, resetValue = !!blReset;
let oldAnnualFlag = this.SnowBall || this.AutoCall;
_.each(OptionFieldState, (val, key) => {
self[key] = 0;
resetValue && key in trade && !(key in BasicFields) && (trade[key] = '');
});
//这里更新可以避免不同期权类型相同字段的困扰
this.resetFieldState(trade, resetValue);
//切换年化系数的两种表现形式
let newAnnualFlag = this.SnowBall || this.AutoCall;
if (resetValue && (oldAnnualFlag ^ newAnnualFlag) === 1) {
if ((AnnualCallControl[0] !== trade || AnnualCallControl[1] + 300 < new Date().getTime())) {
AnnualCallControl[0] = trade;
AnnualCallControl[1] = new Date().getTime();
if (newAnnualFlag) {
trade.IsAnnualized2 = trade.IsAnnualized;
trade.IsAnnualized = false;
trade.AnnualizeFactor = null;
trade.MetaDic['AnnualizeFactor'] = '';
} else {
trade.IsAnnualized = trade.IsAnnualized2;
trade.IsAnnualized2 = false;
trade.AnnualizeFactor2 = null;
trade.MetaDic['AnnualizeFactor2'] = '';
}
}
if (vueCaller) {
var arr = [vueCaller.AnnualizeFactor, vueCaller.AnnualizeFactor2];
newAnnualFlag && arr.reverse();
Object.assign(arr[0], arr[1]);
Object.assign(arr[1], { ttmDays: 0, daysInYear: pageVue.DaysInYear });
vueCaller.changeIsAnnualized();
}
}
};
//设置字段状态
clone.setFieldState = function (field, blvalue) {
if (field in this) {
this[field] = blvalue;
floating && (FloatingTitleState[field] = blvalue);
}
};
return clone;
};
this.initFieldValue = function (trade) {
__resetFieldState(trade, true);
};
_.each([pageVue.Trade, DefaultData, DefaultData.viewState], x => Object.freeze(x));
}());
const consSyntheticMap = {};
const consVueTrade = {
data() {
return {
updateKey: { variety: 0, underlying: 0, client: 0, instrumentType: 0, KIPayoffType: 0 },
AnnualizeFactor: { ttmDays: 0, daysInYear: pageVue.DaysInYear, refDays: 0 },
AnnualizeFactor2: { ttmDays: 0, daysInYear: pageVue.DaysInYear, refDays: 0 }
};
},
created() {
if (this.trade.MetaDic['组合标的']) {
this.viewState.synthetic = JSON.parse(this.trade.MetaDic['组合标的']);
}
this.AnnualizeFactor = this.viewState.AnnualizeFactor;
this.AnnualizeFactor2 = this.viewState.AnnualizeFactor2;
if (!this.floating) {
//在修改或组合报价导入时带入年化系数
for (var key of ['AnnualizeFactor', 'AnnualizeFactor2']) {
let meta = this.trade.MetaDic[key];
if (meta) {
let index = meta.indexOf('/')
if (index > 0) {
this[key].ttmDays = parseFloat(meta.substring(0, index)) || 0;
this[key].daysInYear = parseFloat(meta.substring(index + 1)) || pageVue.DaysInYear;
}
}
}
this.AnnualizeFactor.refDays = this.AnnualizeFactor2.refDays = this.getAnnualDays() || 0;
}
this.viewState.Observation.ObservationDates = this.trade.ObservationDates || "";
if (this.trade.KOObservationDates && (this.trade.TradeType === '雪球期权' || this.trade.TradeType === "累计期权" && this.trade.PayoffType === '固定')) {
var arr = this.trade.KOObservationDates.split(';').filter(O => O);
this.viewState.KOObservation.ObservationDates = [].concat(arr[0], this.trade.KOObservationSettleDates, arr[1], (arr[2] || "0")).join(';');
} else {
this.viewState.KOObservation.ObservationDates = this.trade.KOObservationDates || "";
}
this.viewState.KOObservationSettle.ObservationDates = this.trade.KOObservationSettleDates || "";
this.viewState.Extend.TradingPlace = this.trade.MetaDic["交易场所"] || "";
this.viewState.Extend.ClearingAgency = this.trade.MetaDic["清算机构"] || "";
if (pageData.showCCR) {
this.trade.ccr_k = this.trade.MetaDic["ccr_k"] || "1";
this.trade.ignoreRiskExposure = this.trade.MetaDic["ignoreRiskExposure"] || "0";
}
this.trade.StockEqvNotionalMax = null;
this.trade.TradeAmountV = tradeHelper.getTradeAmountV(this.trade, this.trade.Notional, this.trade.CountRatio);
},
methods: {
getVol() { },
//变更买入卖出
changeBuySell(resetInitialMargin, initVol = true) {
if (initVol) {
this.getVol();
}
this.changeBuySellEx();
if (resetInitialMargin) {
this.trade.InitialMargin = null;
}
},
changeBuySellEx() { },
//变更资金类型
changeDepositType() {
let trade = this.trade
if (trade.DepositType === "0") {
this.getNoRiskRate();
this.changeFieldState();
} else {
trade.NoRiskRate = 0;
this.changeFieldState();
}
},
//变更行权模式
changeExerciseMode(flag) {
if (this.trade.TradeType === '二元期权') {
if (this.trade.ExerciseMode === 'European') {
this.binaryPayoffTypes = consBinaryPayoffTypes.European;
this.trade.PayoffType = 'CashOrNothing';
this.trade.MonitorType = this.trade.RebateType = "";
this.trade.RebateAnnualizedAtKO = false;
} else {
this.binaryPayoffTypes = consBinaryPayoffTypes.American;
this.trade.PayoffType = 'UpOneTouch';
this.trade.MonitorType = "离散";
this.trade.RebateType = "AtHit";
}
}
if (flag !== 'TradeType') {
this.getVol();
this.changeFieldState();
}
this.refreshEngineNames();
},
//刷新定价模型名称
refreshEngineNames() {
this.engineNames = tradeUtils.getEngineNames(this.trade);
},
//获取组合标的价格
getSyntheticPrices(underlyingCode) {
let self = this;
main.post('/pricing/AjaxGetSyntheticPriceModel', { underlyingCode: underlyingCode }, false).done(function (resp) {
self.viewState.synthetic = resp.obj;
self.trade.SpotPrice = resp.obj.Price;
});
},
//变更标的价格
changeSpotPrice(isUserInput) {
this.viewState.SpotPrice = isUserInput ? "user" : "system";
let SpotPrice = this.trade.SpotPrice || 0;
if (!SpotPrice || SpotPrice === '-') {
SpotPrice = 0;
} else {
let precision = pricingFormat.umprice.precision || 0;
if (precision < 2) precision = 2;
let regex = new RegExp('^-?\\d*(\\.\\d{0,' + precision + '})?');
let match = regex.exec(SpotPrice);
if (match) {
if (match[0] !== SpotPrice) {
this.trade.SpotPrice = match[0];
SpotPrice = parseFloat(match[0]);
}
} else {
this.trade.SpotPrice = SpotPrice = 0;
}
}
tradePricing.tradeCalc(this.trade, tradePricing.calcReason.SpotPrice2, this.viewState.variety.CountRatio);
if (!pageVue.IsCheck) {
this.getVol(true);
}
},
blurSpotPrice() {
!this.trade.SpotPrice && (this.trade.SpotPrice !== 0) && (this.trade.SpotPrice = 0);
},
//更改成交方式
changeIsUsePremiumRate() {
tradeUtils.usePremiumRateSwitch(this.trade);
if (this.trade.isTradePricePayType) {
this.changeTradePrice();
} else if (this.trade.IsUsePremiumRate) {
this.changePremiumRate();
} else {
this.changeTradeSinglePrice();
}
},
//变更相对行权价
changeIsMoneynessOption() {
tradeUtils.moneynessSwitch(this.trade);
this.changeKOBarrier();
},
//变更执行价格
changeStrike() {
this.getVol(true);
},
//变更敲入行权价1
changeSpreadStrike1() {
this.trade.Strike = this.trade.SpreadStrike1;
},
//获取标的价格
getSpotPrice(blSetStrike) {
var self = this;
return main.post("/pricing/AjaxGetUnderlyingPrice", { underlyingCode: this.trade.UnderlyingCode, tradeDate: this.trade.TradeDate })
.done(function (resp) {
self.viewState.synthetic = consSyntheticMap[self.trade.CalcId] = resp.obj.synthetic;
self.trade.SpotPrice = pricingFormat.umprice(resp.obj.price);
if (blSetStrike === true && self.trade.IsMoneynessOption !== "是") {
self.trade.Strike = self.trade.SpotPrice;
if (self.trade.TradeType === "Risky期权") {
self.trade.Strike3 = self.trade.SpotPrice;
}
}
self.changeSpotPrice(false);
});
},
//获取品种最小变动价格
getPriceTick() {
return this.trade.UnderlyingInstrumentType === 'Stock' ? 0.01 :
this.viewState.variety ? parseFloat(this.viewState.variety.PriceTick) || 0.1 : 0.1;
},
//绝对值执行价格
showAbsStrike() {
this.trade.IsMoneynessOption = "否";
tradeUtils.moneynessSwitch(this.trade);
this.changeKOBarrier();
},
//百分比执行价格
showPercentStrike() {
this.trade.IsMoneynessOption = "是";
tradeUtils.moneynessSwitch(this.trade);
this.changeKOBarrier();
},
//变更交易日期
changeTradeDate(force, isFromUnderlying) {
this.trade.ValueDate = this.trade.TradeDate;
this.trade.StartDate = this.trade.TradeDate;
if (!pageData.is厦门象屿 && this.trade.TradeType !== "Risky期权") {
this.trade.PremiumPayDate = this.trade.TradeDate;
}
if (pageVue.IsCheck) return;
this.getTTM(force);
this.getNoRiskRate();
this.changeIsAnnualized();
if (!isFromUnderlying && pageData.is厦门象屿) {
this.viewState.SpotPrice = "user";
this.getVol();
}
else {
this.viewState.SpotPrice = "system";
if (force !== 'import2') {
this.getSpotPrice(true);
}
else {
this.getVol();
}
}
if (this.trade.TradeType == "累计期权") {
this.setTradeAmount();
}
},
//变更定价日期
changeValueDate() {
this.getTTM(true);
},
//变更到期日期
changeExerciseDate() {
if (pageData.is厦门象屿 || this.trade.TradeType === "Risky期权") {
this.trade.PremiumPayDate = this.trade.ExerciseDate;
}
if (pageVue.IsCheck) return;
this.getTTM();
this.getVol();
this.getNoRiskRate();
if (this.trade.TradeType == "累计期权") {
this.setTradeAmount();
}
},
//变更结算日期
changeSettlementDate() {
this.changeIsAnnualized();
this.getTTM();
},
//更改权利金费率
changePremiumRate() {
if (!this.trade.IsUsePremiumRate) {
return;
}
tradePricing.tradeCalc(this.trade, tradePricing.calcReason.PremiumRate, this.viewState.variety.CountRatio);
},
//更改权利金单价
changeTradeSinglePrice() {
if (this.trade.IsUsePremiumRate) {
return;
}
tradePricing.tradeCalc(this.trade, tradePricing.calcReason.TradeSinglePrice, this.viewState.variety.CountRatio);
},
//显示权利金绝对值
showAbsPrice() {
this.trade.IsUsePremiumRate = false;
tradeUtils.usePremiumRateSwitch(this.trade);
},
//显示权利金百分比
showPercentPrice() {
this.trade.IsUsePremiumRate = true;
tradeUtils.usePremiumRateSwitch(this.trade);
},
//更改交易总额
changeTradePrice() {
tradePricing.tradeCalc(this.trade, tradePricing.calcReason.TradePrice, this.viewState.variety.CountRatio);
},
//更改交易份额
changeNotional(value) {
(typeof value === 'number') && (this.trade.Notional = value);
tradePricing.tradeCalc(this.trade, tradePricing.calcReason.Notional, this.viewState.variety.CountRatio);
this.trade.InitialMargin = null;
},
//更改有效交易数量
changeTradeAmount(value) {
(typeof value === 'number') && (this.trade.TradeAmount = value);
tradePricing.tradeCalc(this.trade, tradePricing.calcReason.TradeAmount, this.viewState.variety.CountRatio);
this.trade.InitialMargin = null;
},
//更改交易数量
changeTradeAmountV(value) {
(typeof value === 'number') && (this.trade.TradeAmountV = value);
tradePricing.tradeCalc(this.trade, tradePricing.calcReason.TradeAmountV, this.viewState.variety.CountRatio);
},
changeAccumuTradeAmount(value) {
(typeof value === 'number') && (this.trade.AccumuTradeAmount = value);
this.trade.OriginalAccumuTradeAmount = this.trade.AccumuTradeAmount;
this.setTradeAmount();
this.changeTradeAmountV(this.trade.TradeAmountV);
},
setTradeAmount() {
var TradeAmountV = this.trade.AccumuTradeAmount;
var dayCount = 0;
if (this.trade.KOObservationDates) {
dayCount = this.trade.KOObservationDates.split(";")[0].split(',').length;
} else {
var data = {
alignEnd: "true",
calcMode: "01",
endDate: this.trade.ExerciseDate,
holidayAdjustment: "Following",
startDate: this.trade.TradeDate,
termStr: "1D",
}//获取区间观察日数量;
main.post("/trade/GetObservationDateList", data, { async: false }).done(
function (res) {
dayCount = res.obj.length;
}
);
}
TradeAmountV *= dayCount;
this.trade.TradeAmountV = TradeAmountV;
},
//变更名义本金
changeStockEqvNotional(value) {
(typeof value === 'number') && (this.trade.StockEqvNotional = value);
if (this.trade.TradeType === "现金流交易") {
return;
}
tradePricing.tradeCalc(this.trade, tradePricing.calcReason.StockEqvNotional, this.viewState.variety.CountRatio);
this.trade.InitialMargin = null;
},
//变更有效名义本金
changeStockEqvNotionalReal(value) {
(typeof value === 'number') && (this.trade.StockEqvNotionalReal = value);
tradePricing.tradeCalc(this.trade, tradePricing.calcReason.StockEqvNotionalReal, this.viewState.variety.CountRatio);
this.trade.InitialMargin = null;
},
//获取期权年化天数
getAnnualDays() {
let dateFrom = _.trim(this.trade.TradeDate).substring(0, 10);
let dateTo = _.trim(this.trade.SettlementDate).substring(0, 10);
if (dateFrom && dateTo) {
dateFrom = new Date(dateFrom).getTime();
dateTo = new Date(dateTo).getTime();
return 1 + (dateTo - dateFrom) / 1000 / 3600 / 24;
}
return false;
},
//更改期权年化
changeIsAnnualized() {
let IsAnnualized2 = this.fieldState.SnowBall || this.fieldState.AutoCall;
if (!(IsAnnualized2 ? this.trade.IsAnnualized2 : this.trade.IsAnnualized)) {
//|| pageVue.TradeEdit && this.AnnualizeFactor.ttmDays > 0
return this.changeAnnualizeFactor();
}
let factor = this[IsAnnualized2 ? "AnnualizeFactor2" : "AnnualizeFactor"];
let days = this.getAnnualDays();
if (days !== false) {
factor.ttmDays = factor.refDays = days;
this.changeAnnualizeFactor();
} else {
factor.refDays = 0;
}
},
//更改期权年化ttmday与参考日期间隔的差值
changeAnnualDayDiff(diff) {
if (this.annualDayDiff !== diff) {
this.AnnualizeFactor.ttmDays = this.AnnualizeFactor.refDays + diff;
this.changeAnnualizeFactor();
}
},
//更改期权年化ttmday与参考日期间隔的差值
changeAnnualDayDiff2(diff) {
if (this.annualDayDiff2 !== diff) {
this.AnnualizeFactor2.ttmDays = this.AnnualizeFactor2.refDays + diff;
this.changeAnnualizeFactor();
}
},
//更改期权年化
changeAnnualizeFactor() {
let IsAnnualized2 = this.fieldState.SnowBall || this.fieldState.AutoCall;
let propKey = IsAnnualized2 ? 'AnnualizeFactor2' : 'AnnualizeFactor';
let factor = IsAnnualized2 ? this.AnnualizeFactor2 : this.AnnualizeFactor;
if (IsAnnualized2 ? this.trade.IsAnnualized2 : this.trade.IsAnnualized) {
this.trade[propKey] = Math.abs(factor.ttmDays / factor.daysInYear);
this.trade.MetaDic[propKey] = factor.ttmDays.toString() + '/' + factor.daysInYear.toString();
} else {
this.trade[propKey] = 1;
this.trade.MetaDic[propKey] = '';
factor.ttmDays = 0;
factor.daysInYear = pageVue.DaysInYear;
}
this.changeEffectRatio();
},
//变更参与率/年化系数/保底收益率
changeEffectRatio() {
if (this.trade.IsUsePremiumRate) {
tradePricing.tradeCalc(this.trade, tradePricing.calcReason.StockEqvNotional, this.viewState.variety.CountRatio);
}
else {
if (this.trade.TradeAmountV > 0) {
tradePricing.tradeCalc(this.trade, tradePricing.calcReason.TradeAmountV, this.viewState.variety.CountRatio);
}
else {
tradePricing.tradeCalc(this.trade, tradePricing.calcReason.TradeAmount, this.viewState.variety.CountRatio);
}
}
this.trade.InitialMargin = null;
},
changePrincipalSum() {
tradePricing.tradeCalc(this.trade, tradePricing.calcReason.OriginalPrincipalSum, this.viewState.variety.CountRatio);
this.trade.InitialMargin = null;
},
//变更成交波动率
changeOpenVolatility() {
this.viewState.VolState = "user";
},
//锁定成交波动率
lockVolState() {
this.viewState.VolLockState = "lock";
this.viewState.VolState = "user";
},
//解除成交波动率锁定
unlockVolState() {
this.viewState.VolLockState = "system";
this.viewState.VolState = "system";
},
//变更目标波动率
changeCloseVolatility() {
this.viewState.CloseVolState = "user";
},
//变更TTMDays
changeTTM() {
this.viewState.TTMDays = "user";
if (pageData.is厦门象屿) {
this.trade.NumOfSmoothingDays = this.trade.TTMDays >= 10 ? 5 : 0;
}
},
//获取交易日期和到期日期之间工作日的长度
getTTM(force, changeNumOfSmoothingDays = true) {
if (force) {
this.viewState.TTMDays = "system";
}
var self = this;
if (this.viewState.TTMDays !== 'user') {
var data = {
from: this.trade.ValueDate || this.trade.TradeDate,
to: this.trade.ExerciseDate,
varietyid: this.viewState.variety.id
};
if (data.from && data.to) {
main.post("/calendar/DaysInPeriod", data, false).done(function (resp) {
self.trade.TTMDays = consNumberFormat.ttmDaysFmt(resp.obj);
var days = Number.parseInt(self.trade.TTMDays);
if (changeNumOfSmoothingDays && pageVue.NumOfSmoothingDaysCfg === 'TTM') {
self.trade.NumOfSmoothingDays = days < 1 ? 1 : days;
if (pageData.is厦门象屿) {
self.trade.NumOfSmoothingDays = days >= 10 ? 5 : 0;
}
}
if (pageData.is厦门象屿) {
self.trade.NumOfSmoothingDays = days >= 10 ? 5 : 0;
}
});
} else {
self.trade.TTMDays = '';
}
}
},
//变更初始预付金
changeInitialMargin() {
this.viewState.InitialMargin = 'user';
this.resetSummary(resetSummaryFlags.initialMargin);
},
//获取系统计算的初始预付金
getInitialMargin() {
if (this.trade.TradeType === "自定义交易") {
this.trade.ExtendInfo = this.setExtendInfo(this.trade);
}
//检查并转换数据
var trades = tradeUtils.prepareTrades([this.trade], pageVue.getVolType(), false);
if (!trades) return;
var self = this;
main.post("/pricing/AjaxGetInitialMargin", { trade: trades[0] })
.done(function (resp) {
if (pageVue.ClientUsedForCalc && pageVue.TwoSideMargin &&
!self.viewState.TwoSideMargin && resp.obj < 0
&& !trades[0].ParentTradeId > 0) {
self.trade.InitialMargin = 0;
}
else {
self.trade.InitialMargin = pricingFormat.tradePrice(resp.obj);
}
self.viewState.InitialMargin = "system";
self.resetSummary(resetSummaryFlags.initialMargin);
});
},
resetSummary() { },
//获取系统波动率
getTradeOpenVolatility(flag) {
var self = this;
var closeVol = this.trade.TradeCloseVolatility;
tradeUtils.getTradeVol(this.trade, flag === 'user' ? {
BidVar: this.trade.Var,
AskVar: this.trade.Var,
BaseVol: isNaN(closeVol) ? '' : closeVol
} : {}, this.viewState.variety.id).done(function (resp) {
var vol = resp.obj.vol;
if (isNaN(vol)) {
let msg = resp.msg || resp.message;
return main.message("未获取到波动率: " + msg);
}
self.viewState.VolState = flag === 'user' ? "user" : "system";
self.viewState.VolLockState = flag === 'user' ? "lock" : "system";
var formatVol = consNumberFormat.volValueFmt(vol);
if (pageVue.SkewMapVol) {
self.trade.Var = resp.obj.var;
self.trade.TradeOpenVolatility = formatVol;
self.trade.TradeCloseVolatility = consNumberFormat.volValueFmt(resp.obj.baseVol);
} else if (pageVue.IsTradeVol) {
self.trade.TradeOpenVolatility = formatVol;
}
else {
self.trade.Vol = formatVol;
}
});
},
//获取隐含波动率
getTradeImpliedVol(flag) {
var self = this;
if (!this.trade.OptionType) {
return main.message("请填写看涨看跌");
}
if (!this.trade.TradeDate) {
return main.message("请填写成交日期");
}
if (!this.trade.Strike) {
return main.message("请填写执行价格");
}
if (!this.trade.ExerciseDate) {
return main.message("请填写到期日期");
}
if (!this.trade.SpotPrice) {
return main.message("请填写标的期初价格");
}
if (!this.trade.TradeSinglePrice) {
return main.message("请填写权利金");
}
main.post("/pricing/GetImpliedVol", this.trade).done(function (res) {
if (isNaN(res.obj)) {
return main.message("未获取到波动率，请检查输入的数值");
}
self.viewState.VolState = "user";
if (pageVue.IsTradeVol) {
self.trade.TradeOpenVolatility = consNumberFormat.volValueFmt(res.obj);
}
else {
self.trade.Vol = consNumberFormat.volValueFmt(res.obj);;
}
});
},
//获取目标波动率
getTradeCloseVolatility() {
var self = this;
if (pageVue.SkewMapVol) {
self.viewState.CloseVolState = "system";
self.trade.TradeCloseVolatility = "";
return;
}
let over = pageVue.TradeCloseVolatilityCfg === 'Mid' ? { VolType: '交易' } : null;
tradeUtils.getTradeVol(this.trade, over, this.viewState.variety.id).done(function (resp) {
var vol = resp.obj.vol;
if (isNaN(vol)) {
return main.message("未获取到波动率");
}
self.viewState.CloseVolState = "system";
self.trade.TradeCloseVolatility = consNumberFormat.volValueFmt(vol);
});
},
//变更分红率
changeDividendRate() {
this.viewState.DividendRate = 'user';
},
//获取分红率
getDividendRate() {
if (!this.trade.TradeDate) {
return main.alert("缺少交易日期");
}
var self = this;
var postData = { underlyingCode: this.trade.UnderlyingCode, tradeDate: this.trade.TradeDate, tradetype: this.trade.TradeType, optiontype: this.trade.OptionType };
main.post("/pricing/AjaxGetDividendRate", postData).done(function (resp) {
self.trade.DividendRate = resp.obj;
self.viewState.DividendRate = "system";
});
},
//变更无风险利率
changeNoRiskRate() {
this.viewState.NoRiskRate = 'user';
},
//获取无风险利率
getNoRiskRate() {
var self = this;
if (this.trade.TradeType === "现金流交易" && this.trade.DepositType == 1) {
return;
}
!pageVue.IsCheck && main.post("/pricing/AjaxGetNoRiskRate", { startDate: this.trade.TradeDate, endDate: this.trade.ExerciseDate }).done(function (resp) {
self.trade.NoRiskRate = resp.obj.toFixed(4);
self.viewState.NoRiskRate = "system";
});
},
calcSnowballAnnualPremium() {
let trade = this.trade;
let trades = tradeUtils.prepareTrades([trade], pageVue.getVolType(), false);
if (!trades) return;
var self = this;
main.post("/pricing/AjaxCalcSnowballAnnualPremium", { trade: trades[0] }).done(function (resp) {
trade.AnnualizedPremiumRate = resp.obj;
});
},
calcKORebate() {
let trade = this.trade;
let trades = tradeUtils.prepareTrades([trade], pageVue.getVolType(), false);
if (!trades) return;
var self = this;
main.post("/pricing/AjaxCalcSnowballKORebate", { trade: trades[0] }).done(function (resp) {
trade.KORebate = resp.obj;
self.changeRebate();
});
},
calcPhoenixCouponRate() {
let trade = this.trade;
let trades = tradeUtils.prepareTrades([trade], pageVue.getVolType(), false);
if (!trades) return;
var self = this;
main.post("/pricing/AjaxCalcPhoenixCouponRate", { trade: trades[0] }).done(function (resp) {
trade.Coupon = resp.obj;
self.changeRebate();
});
},
//设置观察日
setObservationDates(observationId) {
let isKO = observationId === '#KO';
let isKS = observationId === '#KS';
observationId = this.trade.CalcId + observationId;
var startTime = _.trim(this.trade.TradeDate);
var endTime = _.trim(this.trade.ExerciseDate);
if (!startTime) {
return main.alert("请输入交易日期");
}
if (!endTime) {
return main.alert("请输入到期日期");
}
var obs = isKO ? this.viewState.KOObservation : (isKS ? (this.viewState.KOObservationSettle.hasValue ? this.viewState.KOObservationSettle : this.viewState.KOObservation) : this.viewState.Observation);
var query = {
observationNum: obs.ObservationNum,
observationUnit: obs.ObservationUnit,
observationHolidayType: obs.ObservationHolidayType,
startTime: startTime, endTime: endTime,
alignEnd: _.toString(obs.ObservationAlignEnd) !== "false",
btnId: observationId,
couponDayInterval: obs.CouponDayInterval,
tradeType: this.trade.TradeType,
ObservationFrequency: obs.ObservationFrequency
};
query.Comments = isKO ? this.trade.MetaDic["ObservationRemark3"] : (isKS ? this.trade.MetaDic["ObservationRemark2"] : this.trade.MetaDic["ObservationRemark1"]);
if (isKO && !this.viewState.hasObservationDates) {
query.Comments = this.trade.MetaDic["ObservationRemark2"];
}
var whith = 500;
if (isKO) {
query.title1 = "障碍价格";
query.title2 = "票息";
query.isTitle1Percent = this.trade.IsMoneynessOption === "是";
query.isTitle2Percent = true;
query.defaultTitle1Value = this.trade.KOBarrier;
query.defaultTitle2Value = this.trade.TradeType === "凤凰期权" ? this.trade.Coupon : this.trade.KORebate;
if (this.trade.TradeType === "累计期权") {
if (this.trade.PayoffType === '固定') {
query.title2 = "";
query.defaultTitle2Value = this.trade.Coupon;
query.showDate2 = true;
query.date2Title = "结算日期";
query.showDate2OffsetControl = true;
query.date2OffsetControlTitle = "结算日期间隔"
whith += 20;
} else {
query.title2 = ""
}
}
else if (this.trade.TradeType === "雪球期权") {
query.dateTitle = "敲出观察日(T)";
if (_.toString(this.trade.KOPayoffType) === "0") {
query.showDate2 = true;
}
query.date2Title = "票息支付日";
query.showDate2OffsetControl = true;
query.date2OffsetControlTitle = "票息支付日间隔"
whith += 20;
}
}
query = $.param(query);
sessionStorage.setItem(observationId + "_observationdates", obs.ObservationDates);
layer.open({
type: 2, title: "设置自定义观察日", shadeClose: false, shade: 0.4,
area: [whith + 'px', '560px'], content: "/trade/tradeObservationDates?" + query
});
},
getObservationRate(observation) {
if (!observation || !observation.hasValue) return '';
var observationRate = "", newUnit = "";
switch (observation.ObservationUnit) {
case "D":
newUnit = "天"; break;
case "W":
newUnit = "周"; break;
case "M":
newUnit = "月"; break;
case "Y":
newUnit = "年"; break;
}
observationRate = observation.ObservationNum + newUnit;
if (newUnit !== "") {
observationRate = "每" + observationRate;
}
return observationRate;
},
//变更奇异期权字段状态
changeFieldState() {
this.fieldState.resetFieldState(this.trade);
},
//设置观察频率
setObservation(observationNum, observationUnit, observationHolidayType, observationDates, alignEnd, calcId, couponDayInterval, Comments, ObservationFrequency) {
if (!calcId) return;
let isKO = calcId.endsWith('#KO');
let isComments = Comments != "";
if (observationDates == "") {
observationDates = null;
}
let observation = {
ObservationNum: observationNum,
ObservationUnit: observationUnit,
ObservationHolidayType: observationHolidayType,
ObservationAlignEnd: alignEnd,
CouponDayInterval: couponDayInterval,
ObservationFrequency: ObservationFrequency //报送观察频率
};
var self = this;
_.each(observation, (val, key) => self.trade[key] = val);
observation.hasValue = true;
observation.ObservationDates = observationDates;
if (isKO) {
self.viewState.KOObservation = observation;
if (observationDates != null && observationDates != "") {
var dates = observationDates.split(';').filter(o => o);
if (dates.length === 4) {
self.trade.KOObservationDates = dates[0] + ";" + dates[2] + ";" + dates[3] + ";";
} else if (self.trade.TradeType === "累计期权") {
if (self.trade.PayoffType === "固定") {
self.trade.KOObservationDates = dates[0] + ";" + dates[2] + ";";
observation.ObservationDates = observationDates + ";0";
} else {
self.trade.KOObservationDates = dates[0] + ";" + dates[1] + ";";
//既然累计期权的结算日期在浮动时需要和观察日相同,索性就总是当它存在,避免切换上端收益类型后,结算日期为空的情况发生;
observation.ObservationDates = dates[0] + ";" + dates[0] + ";" + dates[1] + ";0";
}
setTradeAmount(self);
} else {
self.trade.KOObservationDates = observationDates;
}
if (!this.viewState.hasObservationDates) {
self.viewState.KOObservationSettle = _.clone(observation);
if (dates.length === 4 || (self.trade.TradeType === "累计期权" && dates.length === 3)) {
self.trade.KOObservationSettleDates = dates[1];
} else {
self.trade.KOObservationSettleDates = dates[0];
}
if (isComments || this.trade.MetaDic["ObservationRemark2"] != undefined) this.trade.MetaDic["ObservationRemark2"] = Comments;
} else {
if (isComments || this.trade.MetaDic["ObservationRemark3"] != undefined) this.trade.MetaDic["ObservationRemark3"] = Comments;
}
} else {
self.trade.KOObservationDates = observationDates;
}
self.trade.MetaDic["敲出观察周期"] = observationNum + observationUnit + "|" + ObservationFrequency;
} else if (calcId.endsWith('#KS')) {
self.viewState.KOObservationSettle = _.clone(observation);
self.trade.KOObservationSettleDates = observationDates;
this.viewState.hasObservationDates = true;
if (isComments || this.trade.MetaDic["ObservationRemark2"] != undefined) this.trade.MetaDic["ObservationRemark2"] = Comments;
}
else {
self.trade.MetaDic["敲入观察周期"] = observationNum + observationUnit + "|" + ObservationFrequency;
self.viewState.Observation = observation;
self.trade.ObservationDates = observationDates;
if (isComments || this.trade.MetaDic["ObservationRemark1"] != undefined) this.trade.MetaDic["ObservationRemark1"] = Comments;
}
},
//变更票息结算方式
changeCouponPayType() {
this.trade.CouponPayType = parseInt(this.trade.CouponPayType) || 0;
this.trade.IncludeCouponAfterKI = true;
},
//变更交易场所
changeTradingPlace() {
this.trade.MetaDic["交易场所"] = this.viewState.Extend.TradingPlace;
},
//变更清算机构
changeClearingAgency() {
this.trade.MetaDic["清算机构"] = this.viewState.Extend.ClearingAgency;
},
changeMainProtocolCode() {
this.getSupProtocolCode();
},
getMainProtocolCode() {
$("#MainProtocolCode option").remove();
main.post("/Client/getMainProtocolCodes", { clientId: $("#ClientId").val() }, { async: false }).done(function (resp) {
var obj = $("#MainProtocolCode");
_.forEach(resp, (v) => {
obj.append("");
})
});
this.getSupProtocolCode()
},
getSupProtocolCode() {
$("#SupProtocolCode option").remove();
if ($("#MainProtocolCode").val()) {
main.post("/Client/getSideProtocols", { mainProtocol: $("#MainProtocolCode").val() }, { async: false }).done(function (resp) {
var obj = $("#SupProtocolCode");
_.forEach(resp, (v) => {
obj.append("");
})
});
}
},
changeMarginTemplate() {
tradeUtils.changeMarginTemplate(this.trade, this.tradeMarginTemplates);
},
//变更亚式期权行权价类型
changeStrikeType() {
if (this.trade.StrikeType === 'Segmented') {
this.trade.PayoffType = 'EnhancedArithmeticAverage';
}
if (this.trade.StrikeType != "Floating" && this.trade.PayoffType == 'EnhancedArithmeticAverage' && $("#EnhancedPriceTitle")) {
$("#EnhancedPriceTitle").show();
if (parseFloat(this.trade.EnhancedPrice) === 0) {
this.trade.EnhancedPrice = this.trade.Strike;
}
} else if ($("#EnhancedPriceTitle")) {
$("#EnhancedPriceTitle").hide();
}
},
//变更亚式期权均价计算类型
changePayOffType() {
if (this.trade.StrikeType != "Floating" && this.trade.PayoffType == 'EnhancedArithmeticAverage') {
if ($("#EnhancedPriceTitle")) {
$("#EnhancedPriceTitle").show();
}
if (parseFloat(this.trade.EnhancedPrice) === 0) {
this.trade.EnhancedPrice = this.trade.Strike;
}
} else if ($("#EnhancedPriceTitle")) {
$("#EnhancedPriceTitle").hide();
}
},
changeKOBarrier() {
if (this.viewState.KOObservation.ObservationDates) {
var arr = this.trade.KOObservationDates.split(';').filter(o => o);
if (arr.length >= 3 || this.trade.TradeType === '累计期权') {
let fmt = this.trade.IsMoneynessOption === "是" ? consNumberFormat.umpriceP : pricingFormat.umprice;
var barrierStr = _.toString(this.trade.KOBarrier) ? fmt(this.trade.KOBarrier) : '';
var index = arr.length >= 3 ? arr.length - 2 : 1;
var barrierArr = arr[index].split(',');
var selfTrade = this.trade;
barrierArr.forEach(function (v, i) {
barrierArr[i] = barrierStr;
});
arr[index] = barrierArr.join(',');
this.trade.KOObservationDates = arr.join(';');
if (this.trade.TradeType === "雪球期权") {
arr = [].concat(arr[0], this.trade.KOObservationSettleDates, arr[1], arr[2]);
} else if (this.trade.TradeType === "累计期权" && this.trade.PayoffType === "固定") {
arr = [].concat(arr[0], this.trade.KOObservationSettleDates, arr[1], (arr[2] || "0"));
}
this.viewState.KOObservation.ObservationDates = arr.join(';');
main.message("敲出障碍价格已同步");
}
}
},
changeRebate() {
if (this.viewState.KOObservation.ObservationDates) {
var arr = this.trade.KOObservationDates.split(';').filter(o => o);
if (arr.length >= 3) {
var rebateStr = pricingFormat.premiumRate(this.trade.TradeType === "凤凰期权" ? this.trade.Coupon : this.trade.KORebate) + ""
var index = arr.length - 1;
var rebateArr = arr[index].split(',');
rebateArr.forEach(function (v, i) {
rebateArr[i] = rebateStr;
});
arr[index] = rebateArr.join(',');
this.trade.KOObservationDates = arr.join(';');
if (this.trade.TradeType === "雪球期权") {
arr = [].concat(arr[0], this.trade.KOObservationSettleDates, arr[1], arr[2]);
}
this.viewState.KOObservation.ObservationDates = arr.join(';');
main.message("票息已同步");
}
}
},
changePayoffType() {
this.trade.AccumuType = '';
if (this.trade.TradeType === '累计期权') {
if (this.trade.SettlementMode === '现金期末') {
this.trade.PayoffType = '浮动';
}
this.trade.EarlyTerminate = false;
}
if (this.trade.TradeType === '二元期权') {
if (this.trade.ExerciseMode === 'European' || this.trade.PayoffType === 'DoubleNoTouch' || this.trade.PayoffType === 'UpNoTouch' || this.trade.PayoffType === 'DownNoTouch') {
this.trade.RebateAnnualizedAtKO = false;
}
if (this.trade.PayoffType === 'AssetOrNothing') {
this.trade.CashOrNothingAmountRate = "";
this.trade.CashOrNothingAmount = "";
}
}
this.fieldState.resetFieldState(this.trade);
},
changeAccumulatorStructureType() {
if (this.trade.AccumulatorStructureType == "1") {
this.viewState.TradeExtend.Multiplier = 1;
this.viewState.TradeExtend.Multiplier2 = 1;
this.viewState.TradeExtend.Multiplier3 = 1;
}
this.changeFieldState();
}
},
computed: {
maxTradeDate() {
let exerciseDate = this.trade.ExerciseDate;
return exerciseDate;//&& exerciseDate <= pageVue.SysDate ? exerciseDate : pageVue.SysDate;
},
observationRate() {
return this.getObservationRate(this.viewState.Observation);
},
koObservationRate() {
return this.getObservationRate(this.viewState.KOObservation);
},
koObservationSettleRate() {
return this.getObservationRate(this.viewState.KOObservationSettle);
},
inputFormatStrike() {
let fmt = {};
if (this.trade.IsMoneynessOption === '是') {
fmt.append = '%';
fmt.negative = false;
fmt.precision = pricingFormat.umpriceP.precision;
} else {
fmt.append = '';
fmt.negative = true;
fmt.precision = pricingFormat.umprice.precision;
}
return fmt;
},
inputFormatSinglePriceOnly() {
let underlying = this.viewState.underlying;
let quoteUnit = underlying && underlying.QuoteUnitString
? "元/" + (this.viewState.synthetic ? "份" : underlying.QuoteUnitString) : '';
return { precision: pricingFormat.tradeSinglePrice.precision, negative: true, append: quoteUnit };
},
inputFormatSinglePrincipalOnly() {
let underlying = this.viewState.underlying;
let quoteUnit = underlying && underlying.QuoteUnitString
? "元/" + (this.viewState.synthetic ? "份" : underlying.QuoteUnitString) : '';
return { precision: pricingFormat.tradeSinglePrice.precision, negative: true, append: quoteUnit };
},
inputFormatTradeAmount() {
let fmt = { precision: pricingFormat.notional.precision, append: '' };
let variety = this.viewState.variety;
if (variety) {
if (variety.InstrumentType === 'Stock' || !variety.QuoteUnit) {
fmt.append = '股';
} else {
var QuoteUnit = variety.QuoteUnit;
var unit = QuoteUnit.substring(QuoteUnit.lastIndexOf('/') + 1).trim();
fmt.append = unit === "500千克" ? "吨" : unit || '';
}
}
return fmt;
},
inputFormatTradeAmountV() {
let fmt = { precision: pricingFormat.notional.precision, append: '' };
let variety = this.viewState.variety;
if (variety) {
if (variety.InstrumentType === 'Stock' || !variety.QuoteUnit) {
fmt.append = '股';
} else {
var QuoteUnit = variety.QuoteUnit;
var unit = QuoteUnit.substring(QuoteUnit.lastIndexOf('/') + 1).trim();
fmt.append = unit === "500千克" ? "吨" : unit || '';
}
}
return fmt;
},
inputFormatNotional() {
let fmt = { precision: pricingFormat.notional.precision, append: '' };
let variety = this.viewState.variety;
if (variety) {
if (variety.InstrumentType === 'Stock' || !variety.QuoteUnit) {
fmt.append = '股';
} else {
fmt.append = '份';
}
}
return fmt;
},
showExerciseMode() {
switch (this.trade.TradeType) {
case '彩虹期权': case '合成价差期权': case '双鲨期权': case '收益增强结构':
this.trade.ExerciseMode = 'European'; return 1;
case '凤凰期权': case '雪球期权': case '累计期权':
case '自定义交易': case '现金流交易': case '区间累积期权': return 0;
case '障碍期权':
/*if ((this.trade.BarrierType || '').startsWith('双')) {*/
this.trade.ExerciseMode = 'European'; return 1;
/* }*/
break;
}
return this.trade.ExerciseMode === 'European' ? 11 : 101;
},
showOptionType() {
switch (this.trade.TradeType) {
case '现金流交易': this.trade.OptionType = ""; return false;
case '区间累积期权': case '双鲨期权':
case '气囊结构': case '收益增强结构': return false;
case '二元期权': return this.trade.ExerciseMode === 'European';
default: return true;
}
},
//亚式行权价类型
consAsiaStrikeType() {
let isAmerican = this.trade.ExerciseMode === 'American';
if (isAmerican && this.trade.StrikeType === 'Floating') {
this.trade.StrikeType = 'Fixed';
}
return isAmerican ? [{ value: 'Fixed', text: '固定行权价' }]
: [{ value: 'Fixed', text: '固定行权价' }, { value: 'Floating', text: '浮动行权价' }, { value: 'Segmented', text: '分段式' }];
},
//亚式结算方式
consAsiaSettleModes() {
if (this.trade.PayoffType == 'EnhancedArithmeticAverage' && !this.trade.SettleMode) {
this.trade.SettleMode = 'AtHit';
}
return consRebateTypes;
},
//二元补偿支付类型
binaryRebateTypes() {
if (this.trade.ExerciseMode === 'American' && this.trade.PayoffType === 'DoubleNoTouch') {
this.trade.RebateType = 'AtEnd';
return [{ value: 'AtEnd', text: '递延' }];
}
return consRebateTypes;
},
//是否需要标的
needUnderlying() {
return this.trade.TradeType !== '现金流交易';
},
annualDayDiff() {
let diff = this.AnnualizeFactor.ttmDays - this.AnnualizeFactor.refDays;
return diff < 0 ? diff.toString() : "+" + diff;
},
annualDayDiff2() {
let diff = this.AnnualizeFactor2.ttmDays - this.AnnualizeFactor2.refDays;
return diff < 0 ? diff.toString() : "+" + diff;
},
//雪球敲出赔付类别
snowballKOPayoffTypeEnums() {
if (this.trade.OptionType === "看涨") {
return [{ value: '0', text: '票息补偿' }, { value: '1', text: '敲出转看涨' }, { value: '2', text: '敲出转牛市价差' }];
} else {
return [{ value: '0', text: '票息补偿' }, { value: '1', text: '敲出转看跌' }, { value: '2', text: '敲出转熊市价差' }];
}
},
//雪球敲入到期支付类别
snowballKIPayoffTypeEnums() {
let kiPayoffType = this.trade.KIPayoffType + "";
let isInitialKnockedIn = this.trade.IsInitialKnockedIn;
if (this.trade.OptionType === "看涨") {
switch (kiPayoffType) {
case "0":
if (isInitialKnockedIn) {
this.trade.KIPayoffType = "1";
}
break;
case "1": case "2": break;
case "3":
this.trade.KIPayoffType = "1";
break;
case "4":
this.trade.KIPayoffType = "2";
break;
default:
this.trade.KIPayoffType = "0";
this.changeFieldState();
break;
}
if (isInitialKnockedIn) {
return [{ value: '1', text: '敲入转看跌' }, { value: '2', text: '敲入转熊市价差' }];
} else {
return [{ value: '0', text: '无' }, { value: '1', text: '敲入转看跌' }, { value: '2', text: '敲入转熊市价差' }];
}
} else {
switch (kiPayoffType) {
case "0":
if (isInitialKnockedIn) {
this.trade.KIPayoffType = "3";
}
break;
case "3": case "4": break;
case "1":
this.trade.KIPayoffType = "3";
break;
case "2":
this.trade.KIPayoffType = "4";
break;
default:
this.trade.KIPayoffType = "0";
this.changeFieldState();
break;
}
if (isInitialKnockedIn) {
return [{ value: '3', text: '敲入转看涨' }, { value: '4', text: '敲入转牛市价差' }];
} else {
return [{ value: '0', text: '无' }, { value: '3', text: '敲入转看涨' }, { value: '4', text: '敲入转牛市价差' }];
}
}
},
//凤凰敲入到期支付类别
autocallKIPayoffTypeEnums() {
let kiPayoffType = this.trade.KIPayoffType + "";
if (this.trade.OptionType === "看涨") {
switch (kiPayoffType) {
case "1": case "2": break;
case "0": case "3":
this.trade.KIPayoffType = "1"; break;
case "4":
this.trade.KIPayoffType = "2"; break;
default:
this.trade.KIPayoffType = "1";
this.changeFieldState();
break;
}
return [{ value: '1', text: '敲入转看跌' }, { value: '2', text: '敲入转熊市价差' }];
} else {
switch (kiPayoffType) {
case "3": case "4": break;
case "0": case "1":
this.trade.KIPayoffType = "3"; break;
case "2":
this.trade.KIPayoffType = "4"; break;
default:
this.trade.KIPayoffType = "3";
this.changeFieldState();
break;
}
return [{ value: '3', text: '敲入转看涨' }, { value: '4', text: '敲入转牛市价差' }];
}
},
AccumulatorStructureTypeEnums() {
return [{ value: '0', text: '标准' }, { value: '1', text: '三段式' }];
},
AccumulatorPayoffTypeEnums() {
return [{ value: '浮动', text: '浮动' }, { value: '固定', text: '固定' }];
},
AccumulatorEarlyTerminateEnums() {
return _.trim(this.trade.AccumulatorStructureType) && this.trade.AccumulatorStructureType.toString() == "1" ? [{ value: 'false', text: '否' }] : [{ value: 'false', text: '否' }, { value: 'true', text: '是' }];
},
AccumulatorIsFixedCouponEnums() {
return [{ value: 'true', text: '否' }, { value: 'false', text: '是' }];
}
}
};
const tradePricing = {};
//tradeCalc,逻辑参见'交易数据互算'
(function (global) {
var _Precision = null;
const consCalcReason = Object.freeze({
None: 0, SpotPrice: 1, Notional: 2, TradeAmount: 3,
StockEqvNotional: 4, StockEqvNotionalReal: 5,
TradePrice: 6, PremiumRate: 7, TradeSinglePrice: 8, Pv: 9,
SpotPrice2: 11, TradeAmountV: 12, OriginalPrincipalSum: 13
});
function setPrecision(otcformat) {
_Precision = {
umprice: otcformat.umprice.precision,
notional: otcformat.notional.precision,
stockEqvNotional: otcformat.stockEqvNotional.precision,
tradePrice: otcformat.tradePrice.precision,
premiumRate: otcformat.premiumRate.precision,
tradeSinglePrice: otcformat.tradeSinglePrice.precision
};
}
function tradeCalc(trade, reason, countRatio) {
if (!trade) return;
if (!_Precision) {
if (!otcformat) throw 'missing otcformat';
setPrecision(otcformat.trading);
}
let isAutoCall = trade.TradeType === '雪球期权' || trade.TradeType === '凤凰期权';
let data = {
reason: reason,
countRatio: Math.abs(countRatio) || 1,
spotPrice: Math.abs(trade.SpotPrice) || 0,
principalRateWrite: trade.PrincipalRateWrite ? Math.abs(trade.PrincipalRateWrite) || 0 : 0,
singlePrincipalWrite: trade.SinglePrincipalWrite ? Math.abs(trade.SinglePrincipalWrite) || 0 : 0,
participationRate: _.trim(trade.ParticipationRate) ? Math.abs(trade.ParticipationRate) || 0 : 1,
annualizeFactor: isAutoCall
? (trade.AnnualizeFactor2 ? Math.abs(trade.AnnualizeFactor2) || 0 : 1)
: (trade.AnnualizeFactor ? Math.abs(trade.AnnualizeFactor) || 0 : 1),
getAnnRate() {
return isAutoCall ? this.participationRate : this.participationRate * this.annualizeFactor;
},
//通过名义本金+期权费率计算权利金总额
getTradePriceByPremiumRate() {
return tradeHelper.GetTradePriceByPremiumRate(trade.PremiumRate, trade.StockEqvNotional, this.participationRate
, trade.OriginalPrincipalSum, isAutoCall ? 1 : this.annualizeFactor, trade.BuySell, trade.TradeType, true);
},
//通过名义本金+期权单价计算权利金总额
getTradePriceBySinglePrice() {
return tradeHelper.GetTradePriceBySinglePrice(trade.TradeSinglePrice, trade.StockEqvNotional, trade.Notional
, trade.OriginalPrincipalSum, isAutoCall ? 1 : this.annualizeFactor, trade.BuySell, trade.TradeType, true);
},
getNotionalEqv() {
return isAutoCall ? trade.StockEqvNotional * this.participationRate : trade.StockEqvNotionalReal;
},
//通过有效交易份额算交易数量
getTradeAmount(notional) {
return _.round(notional / this.countRatio, 10);
},
//通过有效交易份额算交易数量
getTradeAmountV(notional) {
let annRate = this.getAnnRate();
return _.round((annRate ? notional / annRate : notional) / this.countRatio, _Precision.notional);
}
};
let instance = { data: data };
//期初标的价格(只受自身影响)
instance.SpotPrice = function () {
switch (data.reason) {
case consCalcReason.SpotPrice:
trade.SpotPrice = _.round(trade.SpotPrice, _Precision.umprice) || 0;
data.spotPrice = Math.abs(trade.SpotPrice);
break;
case consCalcReason.SpotPrice2:
data.reason = consCalcReason.SpotPrice;
data.spotPrice = _.round(trade.SpotPrice, _Precision.umprice) || 0;
data.spotPrice = Math.abs(data.spotPrice);
break;
}
};
//交易份额/数量(受名义本金、期初价格影响)
//特别说明:凤凰雪球的实际份额是非年化的,其他是年化折算后的
instance.Notional = function () {
switch (data.reason) {
case consCalcReason.Notional:
trade.Notional = _.round(trade.Notional, _Precision.notional);
trade.OriginalNotional = trade.Notional;
trade.TradeAmount = data.getTradeAmount(trade.Notional);
trade.TradeAmountV = data.getTradeAmountV(trade.Notional);
break;
case consCalcReason.TradeAmount:
trade.TradeAmount = _.round(trade.TradeAmount, 10);
trade.Notional = _.round(trade.TradeAmount * data.countRatio, 10);
trade.OriginalNotional = trade.Notional;
trade.TradeAmountV = data.getTradeAmountV(trade.Notional);
break;
case consCalcReason.TradeAmountV:
trade.TradeAmountV = _.round(trade.TradeAmountV, _Precision.notional);
trade.TradeAmount = _.round(trade.TradeAmountV * data.getAnnRate(), 10);
trade.Notional = _.round(trade.TradeAmount * data.countRatio, 10);
trade.OriginalNotional = trade.Notional;
break;
case consCalcReason.SpotPrice:
//数量成交方式下数量是固定的,期初标的价格会导致名义本金变动
//名义本金成交方式下名义本金是固定的,期权标的价格的变动会导致交易份额变动
if (trade.IsUsePremiumRate) {
let notional = data.spotPrice ? data.getNotionalEqv() / data.spotPrice : 0;
trade.Notional = _.round(notional, _Precision.notional);
trade.OriginalNotional = trade.Notional;
trade.TradeAmount = data.getTradeAmount(trade.Notional);
trade.TradeAmountV = data.getTradeAmountV(trade.Notional);
}
break;
case consCalcReason.StockEqvNotional:
{
let notionalV = data.spotPrice ? trade.StockEqvNotional / data.spotPrice : 0;
trade.Notional = _.round(notionalV * data.getAnnRate(), _Precision.notional);
trade.OriginalNotional = trade.Notional;
trade.TradeAmount = data.getTradeAmount(trade.Notional);
trade.TradeAmountV = data.getTradeAmount(notionalV);//特殊使用
}
break;
case consCalcReason.StockEqvNotionalReal:
{
let eqv = trade.StockEqvNotionalReal;
//凤凰雪球的交易份额非年化而有效名义本金年化所以需要膨胀
data.isAutoCall && data.annualizeFactor && (eqv /= data.annualizeFactor);
let notional = data.spotPrice ? eqv / data.spotPrice : 0;
trade.Notional = _.round(notional, _Precision.notional);
trade.OriginalNotional = trade.Notional;
trade.TradeAmount = data.getTradeAmount(trade.Notional);
trade.TradeAmountV = data.getTradeAmountV(trade.Notional);
}
break;
}
};
//名义本金(受期初价格、数量/份额影响)
//非名义本金变动原因，名义本金以有效名义本金为准
instance.StockEqvNotional = function () {
let eqv = null, eqvReal = null;
switch (data.reason) {
case consCalcReason.Notional:
if (isAutoCall) {
eqv = data.participationRate ? trade.Notional * data.spotPrice / data.participationRate : 0;
} else {
eqvReal = trade.Notional * data.spotPrice;
}
break;
case consCalcReason.TradeAmount:
if (isAutoCall) {
eqv = data.participationRate ? trade.TradeAmount * data.countRatio * data.spotPrice / data.participationRate : 0;
} else {
eqvReal = trade.TradeAmount * data.countRatio * data.spotPrice;
}
break;
case consCalcReason.TradeAmountV:
eqv = trade.TradeAmountV * data.countRatio * data.spotPrice;
break;
case consCalcReason.StockEqvNotional:
eqv = trade.StockEqvNotional;
break;
case consCalcReason.StockEqvNotionalReal:
eqvReal = trade.StockEqvNotionalReal;
break;
case consCalcReason.SpotPrice:
//数量成交方式下数量是固定的,期初标的价格会导致名义本金变动
//名义本金成交方式下名义本金是固定的,期权标的价格的变动会导致交易份额变动
if (!trade.IsUsePremiumRate) {
if (isAutoCall) {
eqv = data.participationRate ? trade.Notional * data.spotPrice / data.participationRate : 0;
} else {
eqvReal = trade.Notional * data.spotPrice;
}
}
break;
}
if (eqv !== null) {
trade.StockEqvNotional = _.round(eqv, _Precision.stockEqvNotional);
eqvReal = trade.StockEqvNotional * data.participationRate * data.annualizeFactor;
trade.StockEqvNotionalReal = _.round(eqvReal, _Precision.stockEqvNotional);
}
else if (eqvReal !== null) {
trade.StockEqvNotionalReal = _.round(eqvReal, _Precision.stockEqvNotional);
let annParticipation = data.participationRate * data.annualizeFactor;
eqv = annParticipation ? trade.StockEqvNotionalReal / annParticipation : 0;
trade.StockEqvNotional = _.round(eqv, _Precision.stockEqvNotional);
}
};
//权利金费用(受期初价格、名义本金影响)
instance.TradePrice = function () {
switch (data.reason) {
case consCalcReason.Notional:
case consCalcReason.TradeAmount:
case consCalcReason.TradeAmountV:
case consCalcReason.StockEqvNotional:
case consCalcReason.OriginalPrincipalSum:
case consCalcReason.StockEqvNotionalReal:
{
let tradePrice = trade.IsUsePremiumRate ? data.getTradePriceByPremiumRate() : data.getTradePriceBySinglePrice();
return trade.TradePrice = _.round(tradePrice, _Precision.tradePrice);
}
case consCalcReason.TradePrice:
{
trade.TradePrice = _.round(trade.TradePrice, _Precision.tradePrice);
let singlePrice = 0;
let premiumRate = 0;
if (trade.TradePrice > 0) {
let tradePrice2 = (Math.abs(trade.TradePrice) || 0) - trade.OriginalPrincipalSum;
if (tradePrice2 > 0) {
singlePrice = trade.Notional ? tradePrice2 / trade.Notional : 0;
let eqv = data.getNotionalEqv();
premiumRate = eqv ? tradePrice2 / eqv : 0;
}
}
else {
let tradePrice2 = (trade.TradePrice || 0) - trade.OriginalPrincipalSum * (trade.BuySell === "卖出" ? -1 : 1);
singlePrice = trade.Notional ? tradePrice2 / trade.Notional : 0;
let eqv = data.getNotionalEqv();
premiumRate = eqv ? tradePrice2 / eqv : 0;
}
trade.TradeSinglePrice = _.round(singlePrice, _Precision.tradeSinglePrice);
trade.PremiumRate = _.round(premiumRate, _Precision.premiumRate);
}
return;
case consCalcReason.Pv:
{
let singlePrice = 0;
let premiumRate = 0;
let tradePrice2 = (trade.TradePrice) || 0;
singlePrice = trade.Notional ? tradePrice2 / trade.Notional : 0;
premiumRate = data.spotPrice ? singlePrice / data.spotPrice : 0;
trade.TradeSinglePrice = _.round(singlePrice, _Precision.tradeSinglePrice);
trade.PremiumRate = _.round(premiumRate, _Precision.premiumRate);
trade.TradePrice = _.round(tradePrice2 + trade.OriginalPrincipalSum, _Precision.tradePrice);
}
return;
case consCalcReason.SpotPrice:
if (trade.IsUsePremiumRate) {
let singlePrice = trade.PremiumRate * data.spotPrice;
trade.TradeSinglePrice = _.round(singlePrice, _Precision.tradeSinglePrice);
let tradePrice = data.getTradePriceByPremiumRate();
trade.TradePrice = _.round(tradePrice, _Precision.tradePrice);
}
else {
let premiumRate = data.spotPrice ? trade.TradeSinglePrice / data.spotPrice : 0;
trade.PremiumRate = _.round(premiumRate, _Precision.premiumRate);
let tradePrice = data.getTradePriceBySinglePrice();
trade.TradePrice = _.round(tradePrice, _Precision.tradePrice);
}
return;
case consCalcReason.PremiumRate:
{
trade.PremiumRate = _.round(trade.PremiumRate, _Precision.premiumRate);
let singlePrice = trade.PremiumRate * data.spotPrice;
trade.TradeSinglePrice = _.round(singlePrice, _Precision.tradeSinglePrice);
let tradePrice = data.getTradePriceByPremiumRate();
trade.TradePrice = _.round(tradePrice, _Precision.tradePrice);
}
return;
case consCalcReason.TradeSinglePrice:
{
trade.TradeSinglePrice = _.round(trade.TradeSinglePrice, _Precision.tradeSinglePrice);
let premiumRate = data.spotPrice ? trade.TradeSinglePrice / data.spotPrice : 0;
trade.PremiumRate = _.round(premiumRate, _Precision.premiumRate);
let tradePrice = trade.IsUsePremiumRate ? data.getTradePriceByPremiumRate() : data.getTradePriceBySinglePrice();
trade.TradePrice = _.round(tradePrice, _Precision.tradePrice);
}
return;
}
};
instance.OriginalPrincipalSum = function () {
switch (data.reason) {
case consCalcReason.TradeAmountV:
trade.OriginalPrincipalSum = _.round(trade.TradeAmount * data.singlePrincipalWrite * countRatio, _Precision.tradePrice);
trade.PrincipalRateWrite = trade.OriginalPrincipalSum / (trade.StockEqvNotional * (isAutoCall ? 1 : data.annualizeFactor));
break;
case consCalcReason.StockEqvNotional:
trade.OriginalPrincipalSum = _.round(trade.StockEqvNotionalReal * data.principalRateWrite * (isAutoCall ? 1 : data.annualizeFactor), _Precision.tradePrice);
trade.SinglePrincipalWrite = trade.TradeAmount === 0 ? 0 : trade.OriginalPrincipalSum / trade.TradeAmount;
break;
}
};
instance.CalcFns = (function () {
switch (reason) {
case consCalcReason.SpotPrice:
case consCalcReason.SpotPrice2:
return [this.SpotPrice].concat(trade.IsUsePremiumRate ? [this.Notional] : [this.StockEqvNotional, this.OriginalPrincipalSum, this.TradePrice]);
case consCalcReason.Notional:
case consCalcReason.TradeAmount:
case consCalcReason.TradeAmountV:
return [this.Notional, this.StockEqvNotional, this.OriginalPrincipalSum, this.TradePrice];
case consCalcReason.StockEqvNotional:
case consCalcReason.StockEqvNotionalReal:
return [this.StockEqvNotional, this.Notional, this.OriginalPrincipalSum, this.TradePrice];
case consCalcReason.TradePrice:
case consCalcReason.Pv:
case consCalcReason.PremiumRate:
case consCalcReason.OriginalPrincipalSum:
case consCalcReason.TradeSinglePrice:
return [this.TradePrice];
default: return [];
}
}.call(instance));
instance.Execute = function () {
this.CalcFns.forEach(x => x());
};
return instance;
}
tradePricing.calcReason = consCalcReason;
//reason:consCalcReason
tradePricing.tradeCalc = function (trade, reason, countRatio) {
new tradeCalc(trade, reason, countRatio).Execute();
};
tradePricing.tradeCalc.setPrecision = function (otcformat) {
otcformat && setPrecision(otcformat);
};
}(window.tradePricing));